UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-3327
MFS SERIES TRUST XIII
(Exact name of registrant as specified in charter)
111 Huntington Avenue, Boston, Massachusetts 02199
(Address of principal executive offices) (Zip code)
Christopher R. Bohane
Massachusetts Financial Services Company
111 Huntington Avenue
Boston, Massachusetts 02199
(Name and address of agents for service)
Registrants telephone number, including area code: (617) 954-5000
Date of fiscal year end: February 28*
Date of reporting period: August 31, 2020
* | This Form N-CSR pertains only to the following series of the Registrant: MFS Diversified Income Fund, MFS Government Securities Fund and MFS New Discovery Value Fund. The remaining series of the Registrant has a fiscal year end other than February 28. |
ITEM 1. | REPORTS TO STOCKHOLDERS. |
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back cover |
(a) | For all securities other than those specifically described below, ratings are assigned to underlying securities utilizing ratings from Moody’s, Fitch, and Standard & Poor’s rating agencies and applying the following hierarchy: If all three agencies provide a rating, the middle rating (after dropping the highest and lowest ratings) is assigned; if two of the three agencies rate a security, the lower of the two is assigned. If none of the 3 rating agencies above assign a rating, but the security is rated by DBRS Morningstar, then the DBRS Morningstar rating is assigned. Ratings are shown in the S&P and Fitch scale (e.g., AAA). Securities rated BBB or higher are considered investment grade. All ratings are subject to change.U.S. Government includes securities issued by the U.S. Department of the Treasury. Federal Agencies includes rated and unrated U.S. Agency fixed-income securities, U.S. Agency mortgage-backed securities, and collateralized mortgage obligations of U.S. Agency mortgage-backed securities.Not Rated includes fixed income securities and fixed income derivatives, which have not been rated by any rating agency.The fund may or may not have held all of these instruments on this date. The fund is not rated by these agencies. |
(g) | The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and S&P Global Market Intelligence Inc. (“S&P Global Market Intelligence”). GICS is a service mark of MSCI and S&P Global Market Intelligence and has been licensed for use by MFS. |
(i) | For purposes of this presentation, the components include the value of securities, and reflect the impact of the equivalent exposure of derivative positions, if any. These amounts may be negative from time to time. Equivalent exposure is a calculated amount that translates the derivative position into a reasonable approximation of the amount of the underlying asset that the portfolio would have to hold at a given point in time to have the same price sensitivity that results from the portfolio’s ownership of the derivative contract. When dealing with derivatives, equivalent exposure is a more representative measure of the potential impact of a position on portfolio performance than value. The bond component will include any accrued interest amounts. |
(o) | Less than 0.1%. |
(x) | Represents the portfolio’s exposure to issuer countries as a percentage of a portfolio’s net assets. For purposes of this presentation, United States includes Cash & Cash Equivalents and Other. |
Share
Class |
Annualized
Expense Ratio |
Beginning
Account Value 3/01/20 |
Ending
Account Value 8/31/20 |
Expenses
Paid During Period (p) 3/01/20-8/31/20 | |
A | Actual | 0.99% | $1,000.00 | $1,002.13 | $5.00 |
Hypothetical (h) | 0.99% | $1,000.00 | $1,020.21 | $5.04 | |
C | Actual | 1.74% | $1,000.00 | $998.37 | $8.76 |
Hypothetical (h) | 1.74% | $1,000.00 | $1,016.43 | $8.84 | |
I | Actual | 0.74% | $1,000.00 | $1,002.59 | $3.74 |
Hypothetical (h) | 0.74% | $1,000.00 | $1,021.48 | $3.77 | |
R1 | Actual | 1.74% | $1,000.00 | $997.58 | $8.76 |
Hypothetical (h) | 1.74% | $1,000.00 | $1,016.43 | $8.84 | |
R2 | Actual | 1.24% | $1,000.00 | $1,000.09 | $6.25 |
Hypothetical (h) | 1.24% | $1,000.00 | $1,018.95 | $6.31 | |
R3 | Actual | 0.99% | $1,000.00 | $1,002.13 | $5.00 |
Hypothetical (h) | 0.99% | $1,000.00 | $1,020.21 | $5.04 | |
R4 | Actual | 0.74% | $1,000.00 | $1,003.38 | $3.74 |
Hypothetical (h) | 0.74% | $1,000.00 | $1,021.48 | $3.77 | |
R6 | Actual | 0.64% | $1,000.00 | $1,003.87 | $3.23 |
Hypothetical (h) | 0.64% | $1,000.00 | $1,021.98 | $3.26 |
(h) | 5% fund return per year before expenses. |
(p) | “Expenses Paid During Period” are equal to each class’s annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses paid do not include any applicable sales charges (loads). If these transaction costs had been included, your costs would have been higher. In addition to the fees and expenses which the fund bears directly, the fund indirectly bears a pro share of the fees and expenses of the underlying funds in which the fund invests. If these indirect costs were included, your costs would have been higher. |
Issuer | Shares/Par | Value ($) | ||
Bonds – 38.1% | ||||
Asset-Backed & Securitized – 1.3% | ||||
Bancorp Commercial Mortgage Trust, 2019-CRE6, “A”, FLR, 7% (LIBOR - 1mo. + 1.05%), 9/15/2036 (n) | $ | 2,998,633 | $ 2,951,755 | |
Benchmark Mortgage Trust 2020-B18, “A5”, 1.925%, 8/15/2053 | 1,701,492 | 1,749,289 | ||
Cantor Commercial Real Estate, 2019-CF3, “A4”, 3.005%, 1/15/2053 | 2,150,000 | 2,388,485 | ||
Capital Automotive, 2020-1A, “A4”, REIT, 3.19%, 2/15/2050 | 516,820 | 519,325 | ||
Citigroup Commercial Mortgage Trust, 2015-GC27, “A5”, 3.137%, 2/10/2048 | 2,850,000 | 3,066,271 | ||
Citigroup Commercial Mortgage Trust, 2019-C7, “A4”, 3.102%, 12/15/2072 | 771,605 | 868,919 | ||
Citigroup Commercial Mortgage Trust, 2019-XA, “C7”, 1.007%, 12/15/2072 (i) | 9,514,352 | 618,914 | ||
Commercial Mortgage Pass-Through Certificates, 2019-BN24, “A3”, 2.96%, 11/15/2062 | 1,665,893 | 1,860,329 | ||
Commercial Mortgage Trust, 2015-DC1, “A5”, 3.35%, 2/10/2048 | 2,574,000 | 2,776,329 | ||
Commercial Mortgage Trust, 2015-PC1, “A5”, 3.902%, 7/10/2050 | 1,800,000 | 2,000,261 | ||
CSAIL Commercial Mortgage Trust, 2015-C2, “A4”, 3.504%, 6/15/2057 | 58,835 | 64,092 | ||
Dryden Senior Loan Fund, 2018-55A, “A1”, CLO, FLR, 1.295% (LIBOR - 3mo. + 1.02%), 4/15/2031 (n) | 2,267,245 | 2,237,292 | ||
GS Mortgage Securities Trust, 2015-GC30, “A4”, 3.382%, 5/10/2050 | 1,750,000 | 1,911,825 | ||
GS Mortgage Securities Trust, 2015-GC32, “A2”, 3.062%, 7/10/2048 | 220,408 | 221,648 | ||
GS Mortgage Securities Trust, 2020-GC45, “A5”, 3.5%, 2/13/2053 | 1,421,853 | 1,568,537 | ||
JPMBB Commercial Mortgage Securities Trust, 2014-C26, 3.494%, 1/15/2048 | 1,888,516 | 2,058,356 | ||
Loomis, Sayles & Co., CLO, 2015-2A, “A2R”, FLR, 1.675% (LIBOR - 3mo. + 1.4%), 4/15/2028 (n) | 2,261,785 | 2,215,500 | ||
Madison Park Funding Ltd., 2014-13A, “BR2”, FLR, 1.305% (LIBOR - 3mo. + 1.5%), 4/19/2030 (n) | 2,390,920 | 2,341,091 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, 2017-C34, “A4”, 3.536%, 11/15/2052 | 700,873 | 789,270 | ||
Morgan Stanley Capital I Trust, 2018-H4, “XA”, 1.031%, 12/15/2051 (i) | 10,047,857 | 575,310 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
Neuberger Berman CLO Ltd., 2015-20, “AR”, FLR, 1.075% (LIBOR - 3mo. + 0.8%), 1/15/2028 | $ | 937,785 | $ 927,532 | |
Palmer Square Loan Funding Ltd., 2020-1A, “A2”, FLR, 1.603% (LIBOR - 3mo. + 1.35%), 2/20/2028 | 1,308,942 | 1,271,180 | ||
Symphony CLO Ltd., 2016-17A, “BR”, FLR, 1.475% (LIBOR - 3mo. + 1.2%), 4/15/2028 (n) | 2,026,203 | 1,994,070 | ||
UBS Commercial Mortgage Trust, 2017-C1, “A4”, 3.544%, 11/15/2050 | 1,505,000 | 1,713,616 | ||
Wells Fargo Commercial Mortgage Trust, 2015-C28, “A4”, 3.54%, 5/15/2048 | 1,116,848 | 1,231,021 | ||
Wells Fargo Commercial Mortgage Trust, 2016-LC25, “A4”, 3.64%, 12/15/2059 | 2,500,000 | 2,807,547 | ||
Wells Fargo Commercial Mortgage Trust, 2018-C48, “XA”, 2.659%, 1/15/2052 (i)(n) | 5,918,881 | 374,629 | ||
Wells Fargo Commercial Mortgage Trust, 2019-C54, “A4”, 3.146%, 12/15/2052 | 3,335,874 | 3,757,910 | ||
$46,860,303 | ||||
Automotive – 0.1% | ||||
Hyundai Capital America, 2.85%, 11/01/2022 | $ | 1,689,000 | $ 1,748,806 | |
Hyundai Capital America, 2.375%, 2/10/2023 | 789,000 | 809,825 | ||
Volkswagen Group of America Co., 2.7%, 9/26/2022 (n) | 1,474,000 | 1,532,448 | ||
$4,091,079 | ||||
Broadcasting – 0.2% | ||||
Prosus N.V., 3.68%, 1/21/2030 (n) | $ | 3,166,000 | $ 3,445,450 | |
Prosus N.V., 4.027%, 8/03/2050 (n) | 1,149,000 | 1,220,363 | ||
Weibo Corp., 3.375%, 7/08/2030 | 1,657,000 | 1,729,890 | ||
$6,395,703 | ||||
Building – 0.0% | ||||
CEMEX S.A.B. de C.V., 7.375%, 6/05/2027 (n) | $ | 841,000 | $ 911,434 | |
Business Services – 0.2% | ||||
Tencent Holdings Ltd., 3.595%, 1/19/2028 | $ | 1,852,000 | $ 2,061,069 | |
Tencent Holdings Ltd., 2.39%, 6/03/2030 (n) | 3,235,000 | 3,356,221 | ||
$5,417,290 | ||||
Cable TV – 0.1% | ||||
Cable Onda S.A., 4.5%, 1/30/2030 (n) | $ | 1,842,000 | $ 1,976,466 | |
VTR Comunicaciones S.p.A., 5.125%, 1/15/2028 (n) | 1,467,000 | 1,533,015 | ||
VTR Finance N.V., 6.375%, 7/15/2028 (n) | 887,000 | 946,872 | ||
$4,456,353 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Chemicals – 0.0% | ||||
Consolidated Energy Finance S.A., 6.875%, 6/15/2025 (n) | $ | 1,352,000 | $ 1,250,600 | |
Consolidated Energy Finance S.A., 6.875%, 6/15/2025 | 293,000 | 271,025 | ||
$1,521,625 | ||||
Conglomerates – 0.1% | ||||
Grupo KUO S.A.B. de C.V., 5.75%, 7/07/2027 (n) | $ | 5,300,000 | $ 5,016,132 | |
Consumer Services – 0.2% | ||||
Alibaba Group Holding Ltd., 3.4%, 12/06/2027 | $ | 3,224,000 | $ 3,651,610 | |
Conservation Fund, 3.474%, 12/15/2029 | 1,031,000 | 1,113,807 | ||
JD.com, Inc., 3.375%, 1/14/2030 | 1,160,000 | 1,269,282 | ||
$6,034,699 | ||||
Containers – 0.1% | ||||
San Miguel Industrias PET S.A., 4.5%, 9/18/2022 (n) | $ | 2,724,000 | $ 2,758,050 | |
San Miguel Industrias PET S.A., 4.5%, 9/18/2022 | 1,606,000 | 1,626,075 | ||
$4,384,125 | ||||
Emerging Market Quasi-Sovereign – 3.6% | ||||
Abu Dhabi Crude Oil Pipeline, 3.65%, 11/02/2029 | $ | 1,023,000 | $ 1,164,966 | |
Abu Dhabi Crude Oil Pipeline, 4.6%, 11/02/2047 | 3,830,000 | 4,672,294 | ||
Aeropuerto Internacional de Tocumen S.A. (Republic of Panama), 6%, 11/18/2048 (n) | 2,820,477 | 3,148,385 | ||
Aeropuerto Internacional de Tocumen S.A. (Republic of Panama), 6%, 11/18/2048 | 796,463 | 889,060 | ||
Autoridad del Canal de Panama, 4.95%, 7/29/2035 (n) | 281,000 | 345,630 | ||
Autoridad del Canal de Panama, 4.95%, 7/29/2035 | 1,220,000 | 1,500,600 | ||
Banco de Reservas de la Republica Dominicana, 7%, 2/01/2023 | 1,500,000 | 1,516,875 | ||
Banco del Estado de Chile, 2.704%, 1/09/2025 (n) | 1,418,000 | 1,490,687 | ||
Banco Nacional de Panama, 2.5%, 8/11/2030 (n) | 1,174,000 | 1,185,482 | ||
Biz Finance PLC (Ukraine), 9.75%, 1/22/2025 | 1,720,000 | 1,771,600 | ||
CDBL Funding 1 (People's Republic of China), 4.25%, 12/02/2024 | 854,000 | 940,194 | ||
Centrais Eletricas Brasileiras S.A., 4.625%, 2/04/2030 (n) | 2,348,000 | 2,383,243 | ||
China Construction Bank Corp., 4.25%, 2/27/2029 | 1,764,000 | 1,901,544 | ||
Consorcio Transmantaro S.A. (Republic of Peru), 4.7%, 4/16/2034 (n) | 636,000 | 737,766 | ||
Development Bank of Kazakhstan, 4.125%, 12/10/2022 | 1,663,000 | 1,751,505 | ||
DP World Salaam (United Arab Emirates), 6% to 1/1/2026, FLR (CMT - 5yr. + 5.75%) to 1/1/2031, FLR (CMT - 5yr. + 6.75%) to 1/01/2070 | 1,707,000 | 1,813,858 | ||
Empresa de Transmision Electrica S.A. (Republic of Panama), 5.125%, 5/02/2049 (n) | 1,694,000 | 1,993,838 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Emerging Market Quasi-Sovereign – continued | ||||
Empresa Nacional del Petroleo (Republic of Chile), 4.375%, 10/30/2024 (n) | $ | 2,469,000 | $ 2,680,696 | |
Empresas Publicas de Medellin E.S.P., 4.25%, 7/18/2029 | 448,000 | 452,502 | ||
Empresas Publicas de Medellin E.S.P., 4.375%, 2/15/2031 (n) | 1,193,000 | 1,211,969 | ||
EQUATE Petrochemical B.V. (State of Kuwait), 4.25%, 11/03/2026 | 3,292,000 | 3,521,176 | ||
Eskom Holdings SOC Ltd. (Republic of South Africa), 6.35%, 8/10/2028 (n) | 2,885,000 | 2,952,855 | ||
Eskom Holdings SOC Ltd. (Republic of South Africa), 8.45%, 8/10/2028 | 1,926,000 | 1,850,481 | ||
Export-Import Bank of India, 3.875%, 2/01/2028 (n) | 4,212,000 | 4,460,719 | ||
Fondo MIVIVIENDA S.A., 3.5%, 1/31/2023 | 640,000 | 664,006 | ||
Gas Natural de Lima y Callao S.A., 4.375%, 4/01/2023 | 1,259,000 | 1,328,245 | ||
Industrial & Commercial Bank of China Ltd., 4.875%, 9/21/2025 | 1,689,000 | 1,924,404 | ||
KazMunayGas National Co., JSC (Republic of Kazakhstan), 5.375%, 4/24/2030 (n) | 4,335,000 | 5,192,983 | ||
KazTransGas JSC (Republic of Kazakhstan), 4.375%, 9/26/2027 | 1,707,000 | 1,884,221 | ||
MDGH - GMTN B.V. (United Arab Emirates), 2.5%, 11/07/2024 (n) | 2,468,000 | 2,591,499 | ||
MDGH - GMTN B.V. (United Arab Emirates), 2.875%, 11/07/2029 (n) | 2,464,000 | 2,652,294 | ||
MEGlobal Canada ULC (State of Kuwait), 5.875%, 5/18/2030 (n) | 910,000 | 1,095,522 | ||
NAK Naftogaz Ukraine via Standard Bank London Holdings PLC, 7.625%, 11/08/2026 (n) | 4,148,000 | 4,053,496 | ||
NAK Naftogaz Ukraine via Standard Bank London Holdings PLC, 7.625%, 11/08/2026 | 416,000 | 406,522 | ||
NTPC Ltd. (Republic of India), 7.375%, 8/10/2021 | INR | 120,000,000 | 1,620,385 | |
NTPC Ltd. (Republic of India), 7.25%, 5/03/2022 | 90,000,000 | 1,220,091 | ||
OCP S.A. (Republic of Madagascar), 6.875%, 4/25/2044 | $ | 2,448,000 | 3,136,280 | |
Petroleos del Peru S.A., 4.75%, 6/19/2032 (n) | 1,877,000 | 2,106,932 | ||
Petroleos del Peru S.A., 5.625%, 6/19/2047 | 2,309,000 | 2,816,980 | ||
Petroleos Mexicanos, 6.49%, 1/23/2027 (n) | 1,544,000 | 1,520,994 | ||
Petroleos Mexicanos, 6.49%, 1/23/2027 | 1,889,000 | 1,860,854 | ||
Petroleos Mexicanos, 6.84%, 1/23/2030 (n) | 2,208,000 | 2,128,512 | ||
Petroleos Mexicanos, 7.69%, 1/23/2050 | 5,408,000 | 4,853,680 | ||
PETRONAS Capital Ltd. (Federation of Malaysia), 3.5%, 4/21/2030 (n) | 2,222,000 | 2,517,292 | ||
PJSC State Savings Bank of Ukraine, 9.375%, 3/10/2023 | 1,768,200 | 1,811,079 | ||
PJSC State Savings Bank of Ukraine, 9.625%, 3/20/2025 | 1,066,000 | 1,092,650 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Emerging Market Quasi-Sovereign – continued | ||||
PT Indonesia Asahan Aluminium (Persero), 4.75%, 5/15/2025 (n) | $ | 1,905,000 | $ 2,086,439 | |
PT Indonesia Asahan Aluminium (Persero), 5.45%, 5/15/2030 (n) | 3,370,000 | 3,942,900 | ||
PT Indonesia Asahan Aluminium (Persero), 5.8%, 5/15/2050 (n) | 1,191,000 | 1,451,531 | ||
PT Pertamina (Persero) (Republic of Indonesia), 6.45%, 5/30/2044 | 1,662,000 | 2,193,840 | ||
PT Perusahaan Listrik Negara (Republic of Indonesia), 6.15%, 5/21/2048 (n) | 1,317,000 | 1,728,562 | ||
PTT Treasury Center Co. Ltd. (Kingdom of Thailand), 3.7%, 7/16/2070 (n) | 1,999,000 | 2,057,261 | ||
Southern Gas Corridor CJSC (Republic of Azerbaijan), 6.875%, 3/24/2026 (n) | 5,170,000 | 6,166,259 | ||
State Grid Overseas Investment (2016) Ltd. (People's Republic of China), 3.5%, 5/04/2027 | 7,145,000 | 8,013,832 | ||
State Oil Company of the Azerbaijan Republic, 4.75%, 3/13/2023 | 3,933,000 | 4,138,035 | ||
State Oil Company of the Azerbaijan Republic, 6.95%, 3/18/2030 | 2,267,000 | 2,816,784 | ||
Transnet SOC Ltd. (Republic of South Africa), 4%, 7/26/2022 | 1,603,000 | 1,593,626 | ||
$131,005,915 | ||||
Emerging Market Sovereign – 7.6% | ||||
Arab Republic of Egypt, 6.125%, 1/31/2022 | $ | 7,492,000 | $ 7,695,258 | |
Arab Republic of Egypt, 5.577%, 2/21/2023 (n) | 1,218,000 | 1,257,780 | ||
Arab Republic of Egypt, 5.875%, 6/11/2025 | 2,005,000 | 2,063,706 | ||
Arab Republic of Egypt, 7.5%, 1/31/2027 | 1,900,000 | 2,029,238 | ||
Arab Republic of Egypt, 6.588%, 2/21/2028 | 1,753,000 | 1,766,042 | ||
Arab Republic of Egypt, 7.6%, 3/01/2029 (n) | 1,396,000 | 1,463,762 | ||
Arab Republic of Egypt, 7.625%, 5/29/2032 (n) | 3,472,000 | 3,528,628 | ||
Arab Republic of Egypt, 8.875%, 5/29/2050 (n) | 1,710,000 | 1,778,434 | ||
Dominican Republic, 6.875%, 1/29/2026 | 3,004,000 | 3,329,934 | ||
Dominican Republic, 5.95%, 1/25/2027 | 3,057,000 | 3,275,575 | ||
Dominican Republic, 6%, 7/19/2028 (n) | 3,561,000 | 3,835,197 | ||
Emirate of Abu Dhabi, 1.7%, 3/02/2031 (n) | 2,166,000 | 2,159,095 | ||
Emirate of Abu Dhabi, 3.125%, 9/30/2049 (n) | 1,675,000 | 1,800,625 | ||
Emirate of Abu Dhabi, 3.875%, 4/16/2050 (n) | 2,122,000 | 2,582,699 | ||
Federal Republic of Nigeria, 7.625%, 11/21/2025 | 1,042,000 | 1,104,437 | ||
Federal Republic of Nigeria, 6.5%, 11/28/2027 (n) | 2,571,000 | 2,549,249 | ||
Federal Republic of Nigeria, 7.143%, 2/23/2030 (n) | 1,113,000 | 1,121,570 | ||
Federal Republic of Nigeria, 7.875%, 2/16/2032 | 1,417,000 | 1,432,020 | ||
Federal Republic of Nigeria, 7.696%, 2/23/2038 | 1,937,000 | 1,879,781 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Emerging Market Sovereign – continued | ||||
Finance Department Government of Sharjah, 4%, 7/28/2050 (n) | $ | 991,000 | $ 1,060,053 | |
Gabonese Republic, 6.625%, 2/06/2031 (n) | 1,794,000 | 1,731,166 | ||
Government of Jamaica, 8%, 3/15/2039 | 5,375,000 | 7,113,812 | ||
Government of Jamaica, 7.875%, 7/28/2045 | 3,225,000 | 4,231,200 | ||
Government of Ukraine, 7.75%, 9/01/2024 (n) | 2,600,000 | 2,749,812 | ||
Government of Ukraine, 7.75%, 9/01/2025 | 6,940,000 | 7,312,428 | ||
Government of Ukraine, 7.75%, 9/01/2026 | 3,434,000 | 3,622,458 | ||
Government of Ukraine, 4.375%, 1/27/2030 (n) | EUR | 1,074,000 | 1,101,544 | |
Government of Ukraine, 7.375%, 9/25/2032 | $ | 1,708,000 | 1,729,138 | |
Government of Ukraine, 7.253%, 3/15/2033 (n) | 1,727,000 | 1,723,822 | ||
Government of Ukraine, GDP Linked Bond, 0%, 5/31/2040 | 6,063,000 | 5,773,686 | ||
Hashemite Kingdom of Jordan, 5.85%, 7/07/2030 (n) | 2,432,000 | 2,460,290 | ||
Oriental Republic of Uruguay, 8.5%, 3/15/2028 | UYU | 82,019,000 | 1,935,425 | |
Oriental Republic of Uruguay, 4.375%, 1/23/2031 | $ | 7,688,000 | 9,206,457 | |
Perusahaan Penerbit SBSN Indonesia III, 2.3%, 6/23/2025 (n) | 983,000 | 1,018,634 | ||
Perusahaan Penerbit SBSN Indonesia III, 2.8%, 6/23/2030 (n) | 1,512,000 | 1,572,238 | ||
Republic of Angola, 9.5%, 11/12/2025 | 2,321,000 | 2,135,320 | ||
Republic of Angola, 9.375%, 5/08/2048 | 2,905,000 | 2,388,665 | ||
Republic of Argentina, 5.875%, 1/11/2028 (a) | 4,432,000 | 1,965,636 | ||
Republic of Colombia, 4.5%, 1/28/2026 | 1,151,000 | 1,278,197 | ||
Republic of Colombia, 3.875%, 4/25/2027 | 1,350,000 | 1,470,163 | ||
Republic of Colombia, 3%, 1/30/2030 | 2,982,000 | 3,071,460 | ||
Republic of Colombia, 3.125%, 4/15/2031 | 2,396,000 | 2,485,850 | ||
Republic of Cote d'Ivoire, 5.25%, 3/22/2030 (n) | EUR | 2,432,000 | 2,751,137 | |
Republic of Cote d'Ivoire, 5.875%, 10/17/2031 | 1,678,000 | 1,910,930 | ||
Republic of Cote d'Ivoire, 6.875%, 10/17/2040 (n) | 2,193,000 | 2,500,507 | ||
Republic of Croatia, 2.75%, 1/27/2030 | 1,000,000 | 1,376,971 | ||
Republic of Croatia, 1.5%, 6/17/2031 | 1,210,000 | 1,490,449 | ||
Republic of Ecuador, 0.5%, 7/31/2040 (a) | $ | 1,350,000 | 698,625 | |
Republic of Ecuador, 0.5%, 7/31/2040 (a) | 4,731,000 | 2,649,360 | ||
Republic of Ecuador, 0.5%, 7/31/2040 (a) | 2,758,000 | 1,396,265 | ||
Republic of Ecuador, 0.5%, 7/31/2040 (a) | 1,363,000 | 705,352 | ||
Republic of Ecuador, 0.5%, 7/31/2040 (a) | 476,000 | 248,710 | ||
Republic of El Salvador, 7.125%, 1/20/2050 | 2,745,000 | 2,352,465 | ||
Republic of Ghana, 7.875%, 2/11/2035 (n) | 2,176,000 | 1,986,893 | ||
Republic of Guatemala, 4.9%, 6/01/2030 (n) | 1,887,000 | 2,126,649 | ||
Republic of Guatemala, 4.9%, 6/01/2030 | 4,648,000 | 5,238,296 | ||
Republic of Guatemala, 5.375%, 4/24/2032 (n) | 880,000 | 1,031,800 | ||
Republic of Guatemala, 6.125%, 6/01/2050 | 1,325,000 | 1,638,362 | ||
Republic of Hungary, 5.375%, 3/25/2024 | 2,906,000 | 3,341,429 | ||
Republic of Hungary, 1.75%, 6/05/2035 | EUR | 2,896,000 | 3,630,052 | |
Republic of India, 7.27%, 4/08/2026 | INR | 269,280,000 | 3,902,333 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Emerging Market Sovereign – continued | ||||
Republic of India, 7.26%, 1/14/2029 | INR | 283,120,000 | $ 4,070,205 | |
Republic of Indonesia, 4.35%, 1/08/2027 | $ | 3,993,000 | 4,586,999 | |
Republic of Indonesia, 3.5%, 1/11/2028 | 1,066,000 | 1,172,877 | ||
Republic of Indonesia, 2.85%, 2/14/2030 | 2,187,000 | 2,306,498 | ||
Republic of Kenya, 7%, 5/22/2027 (n) | 1,709,000 | 1,711,215 | ||
Republic of Kenya, 8%, 5/22/2032 (n) | 2,010,000 | 2,060,994 | ||
Republic of Kenya, 8%, 5/22/2032 | 2,759,000 | 2,828,996 | ||
Republic of Kenya, 8.25%, 2/28/2048 (n) | 1,974,000 | 1,983,870 | ||
Republic of Panama, 3.75%, 4/17/2026 | 1,641,000 | 1,749,634 | ||
Republic of Panama, 3.16%, 1/23/2030 | 2,847,000 | 3,101,095 | ||
Republic of Paraguay, 4.7%, 3/27/2027 | 874,000 | 1,001,167 | ||
Republic of Paraguay, 4.95%, 4/28/2031 (n) | 1,594,000 | 1,841,070 | ||
Republic of Paraguay, 6.1%, 8/11/2044 | 4,048,000 | 5,400,032 | ||
Republic of Paraguay, 5.6%, 3/13/2048 | 2,452,000 | 3,127,551 | ||
Republic of Paraguay, 5.4%, 3/30/2050 (n) | 1,944,000 | 2,447,515 | ||
Republic of Romania, 2%, 1/28/2032 | EUR | 1,150,000 | 1,294,142 | |
Republic of Rwanda, 6.625%, 5/02/2023 | $ | 1,417,000 | 1,450,640 | |
Republic of Senegal, 4.75%, 3/13/2028 (n) | EUR | 1,883,000 | 2,217,282 | |
Republic of Senegal, 6.75%, 3/13/2048 | $ | 1,061,000 | 1,054,348 | |
Republic of Serbia, 3.125%, 5/15/2027 (n) | EUR | 1,566,000 | 1,997,246 | |
Republic of Serbia, 1.5%, 6/26/2029 | 1,029,000 | 1,185,605 | ||
Republic of Serbia, 1.5%, 6/26/2029 (n) | 2,632,000 | 3,032,568 | ||
Republic of South Africa, 4.85%, 9/27/2027 | $ | 1,734,000 | 1,742,670 | |
Republic of South Africa, 4.85%, 9/30/2029 | 1,946,000 | 1,897,078 | ||
Republic of South Africa, 8%, 1/31/2030 | ZAR | 37,114,000 | 2,016,056 | |
Republic of South Africa, 8.25%, 3/31/2032 | 63,469,000 | 3,253,397 | ||
Republic of Sri Lanka, 6.125%, 6/03/2025 | $ | 4,379,000 | 3,765,940 | |
Republic of Sri Lanka, 7.55%, 3/28/2030 | 2,892,000 | 2,371,440 | ||
Republic of Turkey, 3.25%, 3/23/2023 | 2,486,000 | 2,356,728 | ||
Republic of Turkey, 7.25%, 12/23/2023 | 1,967,000 | 2,045,680 | ||
Republic of Turkey, 5.75%, 3/22/2024 | 1,608,000 | 1,583,880 | ||
Republic of Turkey, 6.35%, 8/10/2024 | 1,635,000 | 1,639,087 | ||
Republic of Turkey, 5.6%, 11/14/2024 | 2,529,000 | 2,467,829 | ||
Russian Federation, 4.75%, 5/27/2026 | 5,400,000 | 6,209,374 | ||
Russian Federation, 4.25%, 6/23/2027 | 5,600,000 | 6,327,306 | ||
Russian Federation, 4.375%, 3/21/2029 (n) | 4,000,000 | 4,593,200 | ||
Socialist Republic of Romania, 2%, 1/28/2032 (n) | EUR | 3,455,000 | 3,888,053 | |
Socialist Republic of Vietnam, 4.8%, 11/19/2024 | $ | 2,602,000 | 2,907,735 | |
State of Qatar, 4%, 3/14/2029 (n) | 6,099,000 | 7,132,707 | ||
State of Qatar, 3.75%, 4/16/2030 (n) | 2,457,000 | 2,861,127 | ||
State of Qatar, 5.103%, 4/23/2048 (n) | 2,326,000 | 3,292,607 | ||
State of Qatar, 4.817%, 3/14/2049 (n) | 1,236,000 | 1,690,136 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Emerging Market Sovereign – continued | ||||
State of Qatar, 4.817%, 3/14/2049 | $ | 2,660,000 | $ 3,637,348 | |
$276,067,996 | ||||
Energy - Independent – 0.3% | ||||
Afren PLC, 11.5%, 2/01/2021 (a)(d) | $ | 200,000 | $ 100 | |
Hunt Oil Co. of Peru LLC, 6.375%, 6/01/2028 | 1,103,000 | 1,104,103 | ||
Leviathan Bond Ltd., 6.75%, 6/30/2030 | 1,502,000 | 1,563,732 | ||
Medco Bell Pte. Ltd., 6.375%, 1/30/2027 (n) | 1,718,000 | 1,614,920 | ||
PTT Treasury Center Co. Ltd. (Kingdom of Thailand), 2.587%, 6/10/2027 (n) | 1,400,000 | 1,453,084 | ||
Tengizchevroil Finance Co. International Ltd., 4%, 8/15/2026 (n) | 2,119,000 | 2,273,577 | ||
Tengizchevroil Finance Co. International Ltd., 4%, 8/15/2026 | 1,507,000 | 1,616,933 | ||
Tengizchevroil Finance Co. International Ltd., 3.25%, 8/15/2030 (n) | 2,273,000 | 2,340,235 | ||
$11,966,684 | ||||
Financial Institutions – 0.1% | ||||
Muthoot Finance Ltd., 4.4%, 9/02/2023 (n) | $ | 2,255,000 | $ 2,226,587 | |
Shriram Transport Finance Co. Ltd., 5.1%, 7/16/2023 (n) | 1,505,000 | 1,439,056 | ||
$3,665,643 | ||||
Food & Beverages – 0.4% | ||||
BRF S.A., 4.875%, 1/24/2030 (n) | $ | 1,805,000 | $ 1,872,688 | |
Camposol S.A., 6%, 2/03/2027 (n) | 1,504,000 | 1,553,812 | ||
Central American Bottling Corp., 5.75%, 1/31/2027 (n) | 1,742,000 | 1,837,810 | ||
Corporacion Lindley S.A., 6.75%, 11/23/2021 (n) | 858,750 | 889,888 | ||
Corporacion Lindley S.A., 6.75%, 11/23/2021 | 757,500 | 784,967 | ||
Gruma S.A.B. de C.V., 4.875%, 12/01/2024 | 785,000 | 870,377 | ||
JBS Investments II GmbH, 5.75%, 1/15/2028 (n) | 1,796,000 | 1,899,288 | ||
JBS Investments II GmbH, 5.75%, 1/15/2028 | 928,000 | 981,369 | ||
JBS USA Lux S.A./JBS USA Finance, Inc., 6.5%, 4/15/2029 (n) | 1,304,000 | 1,480,314 | ||
MARB BondCo PLC, 6.875%, 1/19/2025 | 1,679,000 | 1,750,106 | ||
$13,920,619 | ||||
Industrial – 0.1% | ||||
Dar Al-Arkan Sukuk Co. Ltd., 6.875%, 2/26/2027 | $ | 428,000 | $ 367,027 | |
GEMS Menasa Cayman Ltd./GEMS Education Delaware LLC, 7.125%, 7/31/2026 (n) | 1,470,000 | 1,418,550 | ||
Howard University, Washington D.C., 2.638%, 10/01/2021 | 181,000 | 178,813 | ||
Howard University, Washington D.C., 2.738%, 10/01/2022 | 190,000 | 193,097 | ||
Howard University, Washington D.C., 2.801%, 10/01/2023 | 209,000 | 214,387 | ||
Howard University, Washington D.C., AGM, 2.416%, 10/01/2024 | 230,000 | 234,895 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Industrial – continued | ||||
Howard University, Washington D.C., AGM, 2.516%, 10/01/2025 | $ | 285,000 | $ 291,932 | |
$2,898,701 | ||||
International Market Sovereign – 0.1% | ||||
Government of Bermuda, 2.375%, 8/20/2030 (n) | $ | 1,540,000 | $ 1,566,950 | |
Government of Bermuda, 3.375%, 8/20/2050 (n) | 1,290,000 | 1,353,694 | ||
$2,920,644 | ||||
Internet – 0.0% | ||||
Baidu, Inc., 3.075%, 4/07/2025 | $ | 641,000 | $ 685,626 | |
Local Authorities – 0.0% | ||||
Province of Santa Fe, 6.9%, 11/01/2027 | $ | 2,012,000 | $ 1,408,400 | |
Major Banks – 0.1% | ||||
Sovcombank PJSC (SovCom Capital DAC), 8%, 4/07/2030 (n) | $ | 2,747,000 | $ 2,801,940 | |
UBS Group AG, 3.491%, 5/23/2023 (n) | 829,000 | 869,508 | ||
$3,671,448 | ||||
Medical & Health Technology & Services – 0.2% | ||||
Montefiore Obligated Group, AGM, 5.246%, 11/01/2048 | $ | 3,192,000 | $ 4,147,924 | |
ProMedica Toledo Hospital, “B”, AGM, 5.325%, 11/15/2028 | 1,721,000 | 2,100,958 | ||
Rede D'Or Finance S.à r.l., 4.95%, 1/17/2028 | 1,496,000 | 1,531,545 | ||
$7,780,427 | ||||
Metals & Mining – 0.0% | ||||
Petra Diamonds US$ Treasury PLC, 7.25%, 5/01/2022 (a)(d) | $ | 2,699,000 | $ 985,135 | |
Midstream – 0.1% | ||||
Peru LNG, 5.375%, 3/22/2030 (n) | $ | 3,644,000 | $ 2,794,329 | |
Mortgage-Backed – 14.0% | ||||
Fannie Mae, 3.546%, 10/01/2020 | $ | 48,862 | $ 48,852 | |
Fannie Mae, 5%, 12/01/2020 - 3/01/2042 | 5,875,029 | 6,742,305 | ||
Fannie Mae, 6%, 7/01/2021 - 6/01/2038 | 245,855 | 286,398 | ||
Fannie Mae, 4.5%, 1/01/2023 - 8/01/2046 | 19,025,205 | 21,212,898 | ||
Fannie Mae, 2.152%, 1/25/2023 | 773,006 | 789,562 | ||
Fannie Mae, 2.41%, 5/01/2023 | 217,160 | 225,933 | ||
Fannie Mae, 2.55%, 5/01/2023 | 187,148 | 195,376 | ||
Fannie Mae, 2.62%, 5/01/2023 | 257,147 | 268,911 | ||
Fannie Mae, 3.65%, 9/01/2023 | 763,283 | 819,536 | ||
Fannie Mae, 3.78%, 10/01/2023 | 449,475 | 485,255 | ||
Fannie Mae, 3.92%, 10/01/2023 | 987,000 | 1,071,010 | ||
Fannie Mae, 3.5%, 5/25/2025 - 5/01/2049 | 46,935,539 | 50,421,496 | ||
Fannie Mae, 2.7%, 7/01/2025 | 680,000 | 737,998 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Mortgage-Backed – continued | ||||
Fannie Mae, 3.59%, 9/01/2026 | $ | 353,156 | $ 400,816 | |
Fannie Mae, 2.67%, 12/25/2026 | 3,827,000 | 4,167,258 | ||
Fannie Mae, 3.147%, 3/25/2028 | 2,027,000 | 2,284,114 | ||
Fannie Mae, 4%, 3/25/2028 - 9/01/2047 | 30,125,050 | 32,840,470 | ||
Fannie Mae, 3%, 11/01/2028 - 5/25/2053 | 42,124,915 | 44,758,086 | ||
Fannie Mae, 4.96%, 6/01/2030 | 1,002,337 | 1,191,061 | ||
Fannie Mae, 2.5%, 11/01/2031 - 7/01/2050 | 11,203,529 | 11,841,745 | ||
Fannie Mae, 3.5%, 12/25/2031 - 2/25/2036 (i) | 1,064,725 | 111,070 | ||
Fannie Mae, 6.5%, 1/01/2033 - 10/01/2037 | 75,723 | 87,304 | ||
Fannie Mae, 3%, 2/25/2033 (i) | 1,091,560 | 118,867 | ||
Fannie Mae, 5.5%, 5/01/2033 - 4/01/2050 | 6,402,962 | 7,487,062 | ||
Fannie Mae, 2%, 10/25/2040 - 4/25/2046 | 2,105,279 | 2,164,660 | ||
Fannie Mae, 1.75%, 10/25/2041 | 3,035,155 | 3,109,040 | ||
Fannie Mae, 2.75%, 9/25/2042 | 1,365,695 | 1,436,194 | ||
Fannie Mae, TBA, 2%, 1/11/2028 - 10/01/2050 | 12,400,000 | 12,824,116 | ||
Fannie Mae, TBA, 2.5%, 9/01/2035 - 10/01/2050 | 38,505,000 | 40,459,112 | ||
Fannie Mae, TBA, 3%, 9/01/2035 - 9/01/2050 | 19,775,000 | 20,835,007 | ||
Fannie Mae, TBA, 1.5%, 8/01/2050 | 1,750,000 | 1,791,255 | ||
Fannie Mae, TBA, 3.5%, 9/01/2050 | 13,520,655 | 14,262,707 | ||
Fannie Mae, TBA, 4%, 9/01/2050 | 8,900,000 | 9,485,801 | ||
Freddie Mac, 3.034%, 10/25/2020 | 82,767 | 82,814 | ||
Freddie Mac, 6%, 5/01/2021 - 10/01/2038 | 314,020 | 368,104 | ||
Freddie Mac, 2.51%, 11/25/2022 | 2,731,000 | 2,841,182 | ||
Freddie Mac, 2.637%, 1/25/2023 | 1,000,000 | 1,045,049 | ||
Freddie Mac, 3.32%, 2/25/2023 | 1,277,000 | 1,360,128 | ||
Freddie Mac, 5%, 4/01/2023 - 12/01/2044 | 4,100,883 | 4,743,687 | ||
Freddie Mac, 3.25%, 4/25/2023 | 1,700,000 | 1,811,707 | ||
Freddie Mac, 3.06%, 7/25/2023 | 226,000 | 241,005 | ||
Freddie Mac, 1.022%, 4/25/2024 (i) | 19,746,128 | 494,818 | ||
Freddie Mac, 0.733%, 7/25/2024 (i) | 24,418,081 | 448,819 | ||
Freddie Mac, 3.303%, 7/25/2024 | 5,037,000 | 5,522,861 | ||
Freddie Mac, 3.064%, 8/25/2024 | 2,626,852 | 2,855,843 | ||
Freddie Mac, 4.5%, 9/01/2024 - 5/01/2042 | 1,856,678 | 2,072,159 | ||
Freddie Mac, 2.67%, 12/25/2024 | 2,555,000 | 2,764,874 | ||
Freddie Mac, 2.811%, 1/25/2025 | 2,125,000 | 2,314,196 | ||
Freddie Mac, 3.023%, 1/25/2025 | 1,000,000 | 1,098,515 | ||
Freddie Mac, 3.329%, 5/25/2025 | 5,666,000 | 6,325,034 | ||
Freddie Mac, 3.284%, 6/25/2025 | 5,000,000 | 5,574,003 | ||
Freddie Mac, 4%, 7/01/2025 - 4/01/2044 | 2,012,723 | 2,210,646 | ||
Freddie Mac, 3.01%, 7/25/2025 | 1,775,000 | 1,961,783 | ||
Freddie Mac, 3.3%, 10/25/2026 | 2,240,000 | 2,556,673 | ||
Freddie Mac, 3.5%, 1/15/2027 - 10/25/2058 | 26,353,510 | 28,352,793 | ||
Freddie Mac, 1.482%, 3/25/2027 (i) | 2,188,000 | 179,420 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Mortgage-Backed – continued | ||||
Freddie Mac, 3.117%, 6/25/2027 | $ | 2,114,000 | $ 2,407,511 | |
Freddie Mac, 0.427%, 7/25/2027 (i) | 45,583,312 | 1,651,698 | ||
Freddie Mac, 0.564%, 8/25/2027 (i) | 34,798,365 | 957,014 | ||
Freddie Mac, 0.434%, 1/25/2028 (i) | 26,395,437 | 580,034 | ||
Freddie Mac, 1.902%, 1/25/2028 (i) | 64,028,474 | 1,368,481 | ||
Freddie Mac, 0.269%, 2/25/2028 (i) | 78,995,237 | 892,117 | ||
Freddie Mac, 2.5%, 3/15/2028 - 8/01/2040 | 640,833 | 677,102 | ||
Freddie Mac, 0.262%, 4/25/2028 (i) | 50,658,147 | 534,393 | ||
Freddie Mac, 3%, 6/15/2028 - 2/25/2059 | 34,629,172 | 37,268,925 | ||
Freddie Mac, 3.854%, 6/25/2028 | 2,100,000 | 2,518,678 | ||
Freddie Mac, 3.926%, 7/25/2028 | 1,727,000 | 2,084,165 | ||
Freddie Mac, 3.92%, 9/25/2028 | 1,525,000 | 1,847,952 | ||
Freddie Mac, 3.78%, 10/25/2028 | 1,431,154 | 1,716,751 | ||
Freddie Mac, 4.06%, 10/25/2028 | 1,512,000 | 1,843,440 | ||
Freddie Mac, 1.218%, 7/25/2029 (i) | 8,118,614 | 688,120 | ||
Freddie Mac, 1.269%, 8/25/2029 (i) | 14,283,964 | 1,266,681 | ||
Freddie Mac, 0.756%, 11/25/2029 (i) | 20,203,283 | 1,057,705 | ||
Freddie Mac, 1.916%, 4/25/2030 (i) | 3,344,437 | 517,802 | ||
Freddie Mac, 1.985%, 4/25/2030 (i) | 8,166,315 | 1,309,660 | ||
Freddie Mac, 1.766%, 5/25/2030 (i) | 4,373,949 | 633,911 | ||
Freddie Mac, 1.906%, 5/25/2030 (i) | 9,928,903 | 1,540,686 | ||
Freddie Mac, 5.5%, 6/01/2030 - 9/01/2041 | 1,536,829 | 1,788,599 | ||
Freddie Mac, 1.436%, 6/25/2030 (i) | 3,957,955 | 467,158 | ||
Freddie Mac, 3.424%, 4/25/2032 | 2,200,000 | 2,601,892 | ||
Freddie Mac, 3.7%, 1/25/2033 | 675,000 | 810,013 | ||
Freddie Mac, 5.5%, 2/15/2036 (i) | 281,421 | 55,089 | ||
Freddie Mac, 6.5%, 5/01/2037 | 10,207 | 11,697 | ||
Freddie Mac, 4.5%, 12/15/2040 (i) | 120,577 | 11,539 | ||
Freddie Mac, 1.75%, 8/15/2041 | 975,744 | 999,516 | ||
Ginnie Mae, 2.5%, 7/20/2032 - 6/20/2042 | 1,045,000 | 1,114,820 | ||
Ginnie Mae, 5.5%, 5/15/2033 - 1/20/2042 | 227,627 | 266,328 | ||
Ginnie Mae, 4.5%, 7/20/2033 - 9/20/2041 | 3,962,020 | 4,402,963 | ||
Ginnie Mae, 5.708%, 8/20/2034 | 735,003 | 848,906 | ||
Ginnie Mae, 5.879%, 1/20/2039 | 987,944 | 1,154,277 | ||
Ginnie Mae, 4%, 5/16/2039 - 4/20/2050 | 5,072,888 | 5,447,598 | ||
Ginnie Mae, 3.5%, 10/20/2041 (i) | 481,991 | 40,435 | ||
Ginnie Mae, 3.5%, 12/15/2041 - 4/20/2047 | 6,119,876 | 6,618,778 | ||
Ginnie Mae, 4%, 8/16/2042 (i) | 520,671 | 73,872 | ||
Ginnie Mae, 2.25%, 9/20/2043 | 1,544,367 | 1,572,340 | ||
Ginnie Mae, 3%, 4/20/2045 - 8/20/2050 | 13,480,050 | 14,237,656 | ||
Ginnie Mae, 5%, 1/20/2049 | 788,134 | 853,651 | ||
Ginnie Mae, 5.87%, 4/20/2058 | 1,663 | 1,937 | ||
Ginnie Mae, 1.262%, 2/16/2059 (i) | 2,788,335 | 139,941 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Mortgage-Backed – continued | ||||
Ginnie Mae, TBA, 3%, 9/01/2050 | $ | 2,600,000 | $ 2,737,719 | |
Ginnie Mae, TBA, 3.5%, 9/01/2050 | 8,475,000 | 8,918,944 | ||
Ginnie Mae, TBA, 4%, 9/01/2050 | 10,625,000 | 11,316,040 | ||
Ginnie Mae, TBA, 2%, 10/01/2050 | 850,000 | 878,754 | ||
Ginnie Mae, TBA, 2.5%, 10/01/2050 - 7/15/2053 | 4,925,000 | 5,181,565 | ||
$508,102,241 | ||||
Municipals – 0.6% | ||||
California Department of Water Resources Rev. (Central Valley Project Water System), “BC”, 1.409%, 12/01/2029 | $ | 1,130,000 | $ 1,136,938 | |
Illinois Sales Tax Securitization Corp., Second Lien, “B”, 3.411%, 1/01/2043 | 1,650,000 | 1,711,133 | ||
Michigan Finance Authority Hospital Rev. (Trinity Health Credit Group), 3.384%, 12/01/2040 | 1,580,000 | 1,791,135 | ||
New Jersey Economic Development Authority State Pension Funding Rev., Capital Appreciation, “B”, AGM, 0%, 2/15/2023 | 6,363,000 | 6,201,889 | ||
Philadelphia, PA, School District, “A”, AGM, 5.995%, 9/01/2030 | 1,210,000 | 1,599,354 | ||
Port Authority of NY & NJ, “AAA”, 1.086%, 7/01/2023 | 1,505,000 | 1,525,167 | ||
State of California (Build America Bonds), 7.6%, 11/01/2040 | 2,320,000 | 4,238,246 | ||
Texas Transportation Commission, Central Texas Turnpike System First Tier Refunding Rev., Taxable, “B”, 1.98%, 8/15/2042 | 1,355,000 | 1,360,840 | ||
University of California, General Taxable Rev., “BG”, 1.614%, 5/15/2030 | 1,495,000 | 1,521,222 | ||
$21,085,924 | ||||
Natural Gas - Pipeline – 0.0% | ||||
Promigas S.A. ESP/Gases del Pacifico SAC, 3.75%, 10/16/2029 (n) | $ | 1,543,000 | $ 1,519,870 | |
Oils – 0.1% | ||||
Puma International Financing S.A., 5%, 1/24/2026 | $ | 2,372,000 | $ 2,070,027 | |
Thaioil Treasury Center Co. Ltd., 5.375%, 11/20/2048 (n) | 543,000 | 681,731 | ||
Thaioil Treasury Center Co. Ltd., 3.75%, 6/18/2050 (n) | 2,400,000 | 2,388,216 | ||
$5,139,974 | ||||
Other Banks & Diversified Financials – 0.6% | ||||
Banco Santander Mexico, S.A., 5.375%, 4/17/2025 (n) | $ | 1,455,000 | $ 1,640,512 | |
Banistmo S.A., 4.25%, 7/31/2027 (n) | 1,500,000 | 1,526,400 | ||
Bank Leumi le-Israel B.M., 3.275% to 1/29/2026, FLR (CMT - 5yr. + 1.631%) to 1/29/2031 | 3,963,000 | 3,993,040 | ||
Bank Mandiri, 3.75%, 4/11/2024 | 543,000 | 568,250 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Other Banks & Diversified Financials – continued | ||||
BBVA Bancomer S.A./Texas, 5.875%, 9/13/2034 (n) | $ | 823,000 | $ 827,115 | |
Grupo Aval Ltd., 4.375%, 2/04/2030 (n) | 1,643,000 | 1,607,675 | ||
ING Groep N.V., 3.15%, 3/29/2022 | 1,585,000 | 1,648,863 | ||
Kazkommertsbank JSC, 5.5%, 12/21/2022 | 5,860,998 | 5,848,807 | ||
Uzbek Industrial and Construction Bank, 5.75%, 12/02/2024 | 3,783,000 | 3,934,320 | ||
$21,594,982 | ||||
Railroad & Shipping – 0.1% | ||||
Lima Metro Line 2 Finance Ltd., 5.875%, 7/05/2034 | $ | 1,191,623 | $ 1,478,804 | |
Lima Metro Line 2 Finance Ltd., 4.35%, 4/05/2036 (n) | 975,000 | 1,096,875 | ||
$2,575,679 | ||||
Supranational – 0.1% | ||||
Inter-American Development Bank, 4.375%, 1/24/2044 | $ | 511,000 | $ 783,102 | |
West African Development Bank, 4.7%, 10/22/2031 (n) | 1,855,000 | 1,957,025 | ||
$2,740,127 | ||||
Telecommunications - Wireless – 0.1% | ||||
Telefónica Celular del Paraguay S.A., 5.875%, 4/15/2027 (n) | $ | 1,846,000 | $ 1,952,145 | |
VEON Holdings B.V., 4%, 4/09/2025 (n) | 1,444,000 | 1,501,760 | ||
$3,453,905 | ||||
Tobacco – 0.1% | ||||
B.A.T. Capital Corp., 2.764%, 8/15/2022 | $ | 1,508,000 | $ 1,567,226 | |
Transportation - Services – 0.2% | ||||
Aeropuertos Dominicanos Siglo XXI S.A., 6.75%, 3/30/2029 | $ | 737,000 | $ 673,574 | |
Delhi International Airport Ltd., 6.45%, 6/04/2029 (n) | 1,600,000 | 1,595,766 | ||
Rumo Luxembourg S.à r.l., 7.375%, 2/09/2024 | 2,508,000 | 2,633,425 | ||
Rumo Luxembourg S.à r.l., 5.25%, 1/10/2028 (n) | 975,000 | 1,028,625 | ||
$5,931,390 | ||||
U.S. Government Agencies and Equivalents – 0.2% | ||||
AID Tunisia, 2.452%, 7/24/2021 | $ | 728,000 | $ 728,423 | |
Hashemite Kingdom of Jordan, 2.503%, 10/30/2020 | 1,108,000 | 1,112,150 | ||
Private Export Funding Corp., 2.3%, 9/15/2020 | 2,000,000 | 2,001,672 | ||
Small Business Administration, 6.34%, 5/01/2021 | 4,252 | 4,305 | ||
Small Business Administration, 6.07%, 3/01/2022 | 5,934 | 6,037 | ||
Small Business Administration, 5.16%, 2/01/2028 | 34,739 | 37,867 | ||
Small Business Administration, 2.21%, 2/01/2033 | 180,921 | 188,066 | ||
Small Business Administration, 2.22%, 3/01/2033 | 339,505 | 352,829 | ||
Small Business Administration, 3.15%, 7/01/2033 | 344,269 | 369,595 | ||
Small Business Administration, 3.16%, 8/01/2033 | 401,299 | 431,210 | ||
Small Business Administration, 3.62%, 9/01/2033 | 360,903 | 398,351 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
U.S. Government Agencies and Equivalents – continued | ||||
Tennessee Valley Authority, 0.75%, 5/15/2025 | $ | 1,502,000 | $ 1,525,605 | |
$7,156,110 | ||||
U.S. Treasury Obligations – 5.8% | ||||
U.S. Treasury Bonds, 6.375%, 8/15/2027 | $ | 106,000 | $ 149,009 | |
U.S. Treasury Bonds, 5.25%, 2/15/2029 | 2,965,000 | 4,112,200 | ||
U.S. Treasury Bonds, 4.375%, 2/15/2038 | 1,349,000 | 2,073,824 | ||
U.S. Treasury Bonds, 4.5%, 8/15/2039 | 401,000 | 632,671 | ||
U.S. Treasury Bonds, 3.125%, 2/15/2043 | 9,137,900 | 12,347,230 | ||
U.S. Treasury Bonds, 2.875%, 5/15/2043 | 17,378,300 | 22,627,090 | ||
U.S. Treasury Bonds, 2.5%, 2/15/2045 (f) | 22,551,000 | 27,683,114 | ||
U.S. Treasury Bonds, 2.875%, 11/15/2046 | 11,828,000 | 15,610,188 | ||
U.S. Treasury Bonds, TIPS, 0.375%, 1/15/2027 | 12,726,599 | 14,153,121 | ||
U.S. Treasury Notes, 3.125%, 5/15/2021 | 3,748,000 | 3,825,303 | ||
U.S. Treasury Notes, 1.75%, 11/30/2021 | 22,287,000 | 22,725,775 | ||
U.S. Treasury Notes, 1.75%, 6/15/2022 | 16,900,000 | 17,383,239 | ||
U.S. Treasury Notes, 2.5%, 8/15/2023 | 7,225,000 | 7,724,541 | ||
U.S. Treasury Notes, 2.75%, 2/15/2024 | 7,855,000 | 8,551,518 | ||
U.S. Treasury Notes, 2.5%, 5/15/2024 | 4,680,000 | 5,079,628 | ||
U.S. Treasury Notes, 2.875%, 7/31/2025 | 1,948,000 | 2,196,218 | ||
U.S. Treasury Notes, 2.625%, 12/31/2025 | 13,800,000 | 15,489,961 | ||
U.S. Treasury Notes, 2%, 11/15/2026 | 8,336,000 | 9,150,062 | ||
U.S. Treasury Notes, 2.25%, 8/15/2027 | 8,936,000 | 10,022,282 | ||
U.S. Treasury Notes, 2.375%, 5/15/2029 | 8,149,500 | 9,368,423 | ||
$210,905,397 | ||||
Utilities - Electric Power – 1.2% | ||||
Adani Green Energy (UP) Ltd./Prayatna Developers Private Ltd., 6.25%, 12/10/2024 (n) | $ | 3,526,000 | $ 3,787,615 | |
Adani Transmission Ltd., 4.25%, 5/21/2036 (n) | 3,109,375 | 3,086,392 | ||
AES Gener S.A., 7.125% to 7/06/2024, FLR (Swap Rate - 5yr. + 4.644%) to 7/06/2029, FLR (Swap Rate - 5yr. + 4.894%) to 7/06/2044, FLR (Swap Rate - 5yr. + 5.644%) to 3/26/2079 | 1,802,000 | 1,913,215 | ||
AES Gener S.A., 6.35% to 4/7/2025, FLR (CMT - 5yr. + 4.917%) to 4/7/2030, FLR (CMT - 5yr. + 5.167%) to 4/7/2045, FLR (CMT - 5yr. + 5.917%) to 10/07/2079 (n) | 1,885,000 | 1,970,768 | ||
AES Panama Generation Holdings SRL, 4.375%, 5/31/2030 (n) | 1,897,000 | 1,973,923 | ||
Azure Power Energy Ltd., 5.5%, 11/03/2022 (n) | 3,114,000 | 3,191,850 | ||
China Southern Power Grid International Finance Co. Ltd., 3.5%, 5/08/2027 | 998,000 | 1,098,231 | ||
Enel Finance International N.V., 2.875%, 5/25/2022 (n) | 2,073,000 | 2,144,653 | ||
Energuate Trust, 5.875%, 5/03/2027 | 1,613,000 | 1,677,843 | ||
ENGIE Energía Chile S.A., 4.5%, 1/29/2025 (n) | 2,824,000 | 3,138,062 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Utilities - Electric Power – continued | ||||
ENGIE Energía Chile S.A., 3.4%, 1/28/2030 (n) | $ | 2,062,000 | $ 2,237,270 | |
Inkia Energy Ltd., 5.875%, 11/09/2027 (n) | 901,000 | 953,483 | ||
Mong Duong Finance Holdings B.V., 5.125%, 5/07/2029 (n) | 2,190,000 | 2,205,086 | ||
Mong Duong Finance Holdings B.V., 5.125%, 5/07/2029 | 1,083,000 | 1,090,460 | ||
ReNew Power Private Ltd., 5.875%, 3/05/2027 (n) | 1,670,000 | 1,684,113 | ||
Termocandelaria Power Ltd., 7.875%, 1/30/2029 (n) | 2,495,000 | 2,663,437 | ||
TerraForm Global Operating LLC, 6.125%, 3/01/2026 (n) | 1,536,000 | 1,559,040 | ||
Transelec S.A., 4.25%, 1/14/2025 (n) | 2,631,000 | 2,841,480 | ||
Transelec S.A., 3.875%, 1/12/2029 (n) | 3,854,000 | 4,128,636 | ||
Virginia Electric & Power Co., 3.5%, 3/15/2027 | 813,000 | 925,043 | ||
$44,270,600 | ||||
Utilities - Water – 0.1% | ||||
Aegea Finance S.à r.l., 5.75%, 10/10/2024 (n) | $ | 1,617,000 | $ 1,687,760 | |
Aegea Finance S.à r.l., 5.75%, 10/10/2024 | 1,716,000 | 1,791,092 | ||
$3,478,852 | ||||
Total Bonds (Identified Cost, $1,310,393,415) | $ 1,384,382,587 | |||
Common Stocks – 30.2% | ||||
Aerospace – 0.2% | ||||
Lockheed Martin Corp. | 18,747 | $ 7,316,204 | ||
Automotive – 0.4% | ||||
Magna International, Inc. | 257,500 | $ 12,539,886 | ||
PT United Tractors Tbk | 1,049,300 | 1,657,263 | ||
$14,197,149 | ||||
Biotechnology – 0.1% | ||||
Biogen, Inc. (a) | 7,678 | $ 2,208,500 | ||
Brokerage & Asset Managers – 0.1% | ||||
IG Group Holdings PLC | 79,253 | $ 836,408 | ||
Invesco Ltd. | 163,630 | 1,669,026 | ||
$2,505,434 | ||||
Business Services – 0.1% | ||||
Thomson Reuters Corp. | 37,105 | $ 2,836,462 | ||
Computer Software – 0.3% | ||||
Adobe Systems, Inc. (a) | 5,693 | $ 2,922,729 | ||
Microsoft Corp. | 42,085 | 9,491,430 | ||
$12,414,159 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Computer Software - Systems – 0.4% | ||||
Hitachi Ltd. | 361,200 | $ 11,993,585 | ||
Hon Hai Precision Industry Co. Ltd. | 1,613,000 | 4,220,571 | ||
$16,214,156 | ||||
Construction – 2.2% | ||||
American Homes 4 Rent, “A”, REIT | 930,484 | $ 26,649,062 | ||
AvalonBay Communities, Inc., REIT | 166,575 | 26,328,844 | ||
ICA Tenedora S.A. de C.V. (a) | 560,019 | 1,038,422 | ||
Mid-America Apartment Communities, Inc., REIT | 227,363 | 26,628,755 | ||
$80,645,083 | ||||
Consumer Products – 0.5% | ||||
Kimberly-Clark Corp. | 121,608 | $ 19,184,878 | ||
Containers – 0.1% | ||||
Amcor PLC | 190,668 | $ 2,108,788 | ||
Electrical Equipment – 0.6% | ||||
Schneider Electric SE | 167,790 | $ 20,774,091 | ||
Electronics – 1.1% | ||||
Intel Corp. | 243,421 | $ 12,402,300 | ||
Samsung Electronics Co. Ltd. | 106,180 | 4,826,770 | ||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 291,547 | 23,105,100 | ||
$40,334,170 | ||||
Energy - Independent – 0.2% | ||||
China Shenhua Energy Co. Ltd. | 807,500 | $ 1,340,158 | ||
CNOOC Ltd. | 1,219,000 | 1,376,230 | ||
Frontera Energy Corp. | 72,682 | 152,429 | ||
Valero Energy Corp. | 72,309 | 3,802,730 | ||
$6,671,547 | ||||
Energy - Integrated – 0.5% | ||||
China Petroleum & Chemical Corp. | 22,088,000 | $ 10,151,309 | ||
Eni S.p.A. | 161,708 | 1,505,199 | ||
Galp Energia SGPS S.A. | 387,263 | 4,146,323 | ||
LUKOIL PJSC, ADR | 54,763 | 3,745,789 | ||
$19,548,620 | ||||
Food & Beverages – 0.9% | ||||
General Mills, Inc. | 260,338 | $ 16,648,615 | ||
J.M. Smucker Co. | 105,186 | 12,641,253 | ||
PepsiCo, Inc. | 24,681 | 3,456,821 | ||
$32,746,689 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
General Merchandise – 0.0% | ||||
BIM Birlesik Magazalar A.S. | 123,896 | $ 1,145,122 | ||
Insurance – 0.9% | ||||
BB Seguridade Participacoes S.A. | 210,500 | $ 1,013,597 | ||
Equitable Holdings, Inc. | 264,108 | 5,596,449 | ||
Manulife Financial Corp. | 720,621 | 10,629,622 | ||
MetLife, Inc. | 108,355 | 4,167,333 | ||
Prudential Financial, Inc. | 21,866 | 1,481,859 | ||
Samsung Fire & Marine Insurance Co. Ltd. | 11,780 | 1,849,197 | ||
Zurich Insurance Group AG | 23,141 | 8,550,356 | ||
$33,288,413 | ||||
Leisure & Toys – 0.1% | ||||
Activision Blizzard, Inc. | 36,601 | $ 3,056,916 | ||
Electronic Arts, Inc. (a) | 12,992 | 1,811,994 | ||
$4,868,910 | ||||
Machinery & Tools – 0.4% | ||||
Eaton Corp. PLC | 146,563 | $ 14,964,082 | ||
Zhengzhou Yutong Bus Co., Ltd., “A” | 647,475 | 1,340,068 | ||
$16,304,150 | ||||
Major Banks – 1.0% | ||||
ABSA Group Ltd. | 598,108 | $ 2,725,689 | ||
BOC Hong Kong Holdings Ltd. | 996,500 | 2,803,690 | ||
China Construction Bank Corp. | 12,222,000 | 8,608,508 | ||
DBS Group Holdings Ltd. | 821,600 | 12,578,464 | ||
State Street Corp. | 129,919 | 8,846,185 | ||
UBS Group AG | 96,647 | 1,174,476 | ||
$36,737,012 | ||||
Medical & Health Technology & Services – 0.2% | ||||
HCA Healthcare, Inc. | 35,638 | $ 4,836,790 | ||
McKesson Corp. | 27,587 | 4,232,949 | ||
$9,069,739 | ||||
Metals & Mining – 0.3% | ||||
Fortescue Metals Group Ltd. | 250,830 | $ 3,185,991 | ||
MMC Norilsk Nickel PJSC, ADR | 64,273 | 1,674,312 | ||
POSCO | 8,104 | 1,258,682 | ||
Rio Tinto PLC | 78,477 | 4,862,306 | ||
$10,981,291 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Natural Gas - Pipeline – 0.3% | ||||
Enterprise Products Partners LP | 273,932 | $ 4,810,246 | ||
Equitrans Midstream Corp. | 201,138 | 2,067,698 | ||
Magellan Midstream Partners LP | 35,376 | 1,344,642 | ||
Plains All American Pipeline LP | 137,513 | 973,592 | ||
$9,196,178 | ||||
Network & Telecom – 2.0% | ||||
CoreSite Realty Corp., REIT | 121,189 | $ 14,839,593 | ||
Equinix, Inc., REIT | 55,352 | 43,715,903 | ||
QTS Realty Trust, Inc., REIT, “A” | 199,454 | 13,526,970 | ||
$72,082,466 | ||||
Other Banks & Diversified Financials – 0.2% | ||||
Citigroup, Inc. | 116,579 | $ 5,959,519 | ||
Pharmaceuticals – 2.4% | ||||
AbbVie, Inc. | 55,500 | $ 5,315,235 | ||
Bayer AG | 179,547 | 11,900,134 | ||
Bristol-Myers Squibb Co. | 124,724 | 7,757,833 | ||
Eli Lilly & Co. | 87,590 | 12,997,480 | ||
Merck & Co., Inc. | 181,430 | 15,470,536 | ||
Novartis AG | 80,507 | 6,950,347 | ||
Roche Holding AG | 78,004 | 27,242,506 | ||
$87,634,071 | ||||
Railroad & Shipping – 0.1% | ||||
Kansas City Southern Co. | 14,445 | $ 2,629,568 | ||
Real Estate – 10.9% | ||||
Alexandria Real Estate Equities, Inc., REIT | 132,262 | $ 22,270,276 | ||
Boardwalk, REIT (l) | 379,846 | 8,806,335 | ||
Brixmor Property Group, Inc., REIT | 1,276,981 | 15,068,376 | ||
Corporate Office Properties Trust, REIT | 567,618 | 13,986,108 | ||
Easterly Government Properties, REIT | 43,641 | 1,055,676 | ||
Empire State Realty Trust, REIT, “A” | 1,161,784 | 7,319,239 | ||
EPR Properties, REIT | 98,588 | 3,185,378 | ||
Equity Lifestyle Properties, Inc., REIT | 387,946 | 25,716,940 | ||
Extra Space Storage, Inc., REIT | 269,387 | 28,703,185 | ||
Farmland Partners, Inc., REIT | 301,707 | 2,018,420 | ||
Global Medical, Inc., REIT | 45,493 | 581,855 | ||
Host Hotels & Resorts, Inc., REIT | 1,298,420 | 14,581,257 | ||
Industrial Logistics Properties Trust, REIT | 291,213 | 6,281,464 | ||
Longfor Properties Co. Ltd. | 443,500 | 2,341,135 | ||
Medical Properties Trust, Inc., REIT | 727,455 | 13,516,114 | ||
Prologis, Inc., REIT | 519,359 | 52,901,908 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Real Estate – continued | ||||
Rayonier, Inc., REIT | 219,830 | $ 6,436,622 | ||
Spirit Realty Capital, Inc., REIT | 57,599 | 2,045,340 | ||
STAG Industrial, Inc., REIT | 659,704 | 21,308,439 | ||
STORE Capital Corp., REIT | 1,101,885 | 29,794,970 | ||
Sun Communities, Inc., REIT | 175,624 | 26,182,026 | ||
Urban Edge Properties, REIT | 1,604,669 | 16,945,305 | ||
VICI Properties, Inc., REIT | 1,075,938 | 24,036,455 | ||
W.P. Carey, Inc., REIT | 226,359 | 15,702,524 | ||
Welltower, Inc., REIT | 581,851 | 33,468,070 | ||
$394,253,417 | ||||
Restaurants – 0.1% | ||||
Greggs PLC | 127,065 | $ 2,406,833 | ||
Specialty Chemicals – 0.2% | ||||
Nitto Denko Corp. | 29,100 | $ 1,764,968 | ||
PTT Global Chemical PLC | 3,981,200 | 5,916,315 | ||
$7,681,283 | ||||
Specialty Stores – 0.5% | ||||
Target Corp. | 130,024 | $ 19,660,929 | ||
Telecommunications - Wireless – 1.3% | ||||
American Tower Corp., REIT | 69,950 | $ 17,428,043 | ||
KDDI Corp. | 590,900 | 17,135,643 | ||
Mobile TeleSystems PJSC, ADR | 113,242 | 1,055,415 | ||
Vodafone Group PLC | 6,782,169 | 10,103,222 | ||
$45,722,323 | ||||
Telephone Services – 0.3% | ||||
Hellenic Telecommunications Organization S.A. | 156,776 | $ 2,563,114 | ||
Koninklijke KPN N.V. | 710,951 | 1,863,964 | ||
TELUS Corp. | 303,643 | 5,591,678 | ||
$10,018,756 | ||||
Tobacco – 0.6% | ||||
British American Tobacco PLC | 239,751 | $ 8,116,337 | ||
Imperial Brands PLC | 213,376 | 3,573,937 | ||
Japan Tobacco, Inc. | 466,000 | 8,706,612 | ||
$20,396,886 | ||||
Utilities - Electric Power – 0.7% | ||||
AltaGas Ltd. | 91,681 | $ 1,185,769 | ||
ENGIE Energía Brasil S.A. | 90,100 | 701,098 | ||
Exelon Corp. | 246,970 | 9,115,663 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Utilities - Electric Power – continued | ||||
Iberdrola S.A. | 561,013 | $ 7,063,065 | ||
Transmissora Alianca de Energia Eletrica S.A., IEU | 117,917 | 607,181 | ||
Xcel Energy, Inc. | 97,985 | 6,807,508 | ||
$25,480,284 | ||||
Total Common Stocks (Identified Cost, $910,690,927) | $ 1,095,223,080 | |||
Convertible Preferred Stocks – 0.2% | ||||
Medical Equipment – 0.1% | ||||
Boston Scientific Corp., 5.5% | 8,793 | $ 1,027,550 | ||
Danaher Corp., 4.75% | 857 | 1,227,061 | ||
$2,254,611 | ||||
Utilities - Electric Power – 0.1% | ||||
CenterPoint Energy, Inc., 7% | 67,302 | $ 2,527,190 | ||
Total Convertible Preferred Stocks (Identified Cost, $5,200,550) | $ 4,781,801 | |||
Preferred Stocks – 0.1% | ||||
Electronics – 0.1% | ||||
Samsung Electronics Co. Ltd. (Identified Cost, $3,584,769) | 109,896 | $ 4,375,078 | ||
Investment Companies (h) – 35.1% | ||||
Bond Funds – 29.1% | ||||
MFS High Yield Pooled Portfolio (v) | 116,222,484 | $ 1,056,462,385 | ||
Money Market Funds – 6.0% | ||||
MFS Institutional Money Market Portfolio, 0.1% (v) | 219,204,309 | $ 219,204,309 | ||
Total Investment Companies (Identified Cost, $1,227,783,741) | $ 1,275,666,694 |
Underlying/Expiration Date/Exercise Price | Put/
Call |
Counterparty | Notional
Amount |
Par
Amount/ Number of Contracts |
|
Purchased Options – 0.0% | |||||
Special Products & Services – 0.0% | |||||
iShares U.S. Real Estate ETF – September 2020 @ $61 (Premiums Paid, $11,019,600) | Put | Goldman Sachs International | $197,400,000 | 24,000 | $192,000 |
Issuer | Shares/Par | Value ($) | ||
Collateral for Securities Loaned – 0.1% | ||||
JPMorgan U.S. Government Money Market Fund, 0.08% (j) (Identified Cost, $4,006,086) | 4,006,086 | $ 4,006,086 | ||
Other Assets, Less Liabilities – (3.8)% | (136,805,902) | |||
Net Assets – 100.0% | $3,631,821,424 |
(a) | Non-income producing security. | |||
(d) | In default. | |||
(f) | All or a portion of the security has been segregated as collateral for open futures contracts. | |||
(h) | An affiliated issuer, which may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. At period end, the aggregate values of the fund's investments in affiliated issuers and in unaffiliated issuers were $1,275,666,694 and $2,492,960,632, respectively. | |||
(i) | Interest only security for which the fund receives interest on notional principal (Par amount). Par amount shown is the notional principal and does not reflect the cost of the security. | |||
(j) | The rate quoted is the annualized seven-day yield of the fund at period end. | |||
(l) | A portion of this security is on loan. See Note 2 for additional information. | |||
(n) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. At period end, the aggregate value of these securities was $276,849,821, representing 7.6% of net assets. | |||
(v) | Affiliated issuer that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end. |
The following abbreviations are used in this report and are defined: | |
ADR | American Depositary Receipt |
AGM | Assured Guaranty Municipal |
AID | U.S. Agency for International Development |
CLO | Collateralized Loan Obligation |
CMT | Constant Maturity Treasury |
ETF | Exchange-Traded Fund |
FLR | Floating Rate. Interest rate resets periodically based on the parenthetically disclosed reference rate plus a spread (if any). The period-end rate reported may not be the current rate. All reference rates are USD unless otherwise noted. |
IEU | International Equity Unit |
LIBOR | London Interbank Offered Rate |
REIT | Real Estate Investment Trust |
TBA | To Be Announced |
TIPS | Treasury Inflation Protected Security |
Abbreviations indicate amounts shown in currencies other than the U.S. dollar. All amounts are stated in U.S. dollars unless otherwise indicated. A list of abbreviations is shown below: | |
BRL | Brazilian Real |
EUR | Euro |
IDR | Indonesian Rupiah |
INR | Indian Rupee |
KRW | South Korean Won |
UYU | Uruguayan Peso |
ZAR | South African Rand |
Forward Foreign Currency Exchange Contracts | ||||||
Currency
Purchased |
Currency
Sold |
Counterparty | Settlement
Date |
Unrealized
Appreciation (Depreciation) | ||
Asset Derivatives | ||||||
BRL | 8,665,000 | USD | 1,544,481 | Goldman Sachs International | 10/02/2020 | $35,643 |
EUR | 2,704,000 | USD | 3,139,602 | Morgan Stanley Capital Services, Inc. | 10/16/2020 | 90,379 |
IDR | 43,097,964,000 | USD | 2,949,491 | Barclays Bank PLC | 9/03/2020 | 9,788 |
IDR | 17,472,438,000 | USD | 1,194,696 | JPMorgan Chase Bank N.A. | 9/03/2020 | 5,031 |
KRW | 1,072,996,000 | USD | 897,086 | Barclays Bank PLC | 10/06/2020 | 6,206 |
KRW | 1,746,057,000 | USD | 1,430,256 | JPMorgan Chase Bank N.A. | 9/04/2020 | 39,602 |
USD | 3,274,678 | BRL | 17,028,000 | Barclays Bank PLC | 10/02/2020 | 169,504 |
USD | 2,966,137 | IDR | 43,097,964,000 | Goldman Sachs International | 9/03/2020 | 6,858 |
USD | 4,456,435 | IDR | 65,130,793,600 | Goldman Sachs International | 11/02/2020 | 9,760 |
USD | 5,447,595 | ZAR | 91,812,151 | State Street Bank Corp. | 10/16/2020 | 57,321 |
$430,092 | ||||||
Liability Derivatives | ||||||
EUR | 1,074,960 | USD | 1,284,631 | Merrill Lynch International | 10/16/2020 | $(572) |
IDR | 65,130,793,600 | USD | 4,482,505 | Goldman Sachs International | 9/03/2020 | (10,364) |
IDR | 43,097,964,000 | USD | 2,948,886 | Goldman Sachs International | 11/02/2020 | (6,458) |
USD | 1,527,691 | EUR | 1,315,105 | Citibank N.A. | 10/16/2020 | (43,227) |
USD | 2,032,358 | EUR | 1,729,532 | HSBC Bank | 10/16/2020 | (33,601) |
USD | 23,377,009 | EUR | 20,509,696 | JPMorgan Chase Bank N.A. | 10/16/2020 | (1,122,220) |
USD | 1,516,113 | EUR | 1,275,330 | State Street Bank Corp. | 10/16/2020 | (7,293) |
USD | 5,613,921 | IDR | 82,603,231,600 | JPMorgan Chase Bank N.A. | 9/03/2020 | (57,948) |
USD | 5,016,230 | INR | 378,364,208 | Barclays Bank PLC | 9/11/2020 | (119,729) |
USD | 4,480,333 | INR | 338,646,000 | JPMorgan Chase Bank N.A. | 9/11/2020 | (116,486) |
$(1,517,898) |
Futures Contracts | ||||||
Description | Long/
Short |
Currency | Contracts | Notional
Amount |
Expiration
Date |
Value/Unrealized
Appreciation (Depreciation) |
Asset Derivatives | ||||||
Interest Rate Futures | ||||||
U.S. Treasury Bond | Short | USD | 46 | $8,083,063 | December – 2020 | $36,513 |
U.S. Treasury Note 2 yr | Long | USD | 279 | 61,643,742 | December – 2020 | 12,088 |
U.S. Treasury Note 5 yr | Long | USD | 186 | 23,441,813 | December – 2020 | 16,174 |
$64,775 | ||||||
Liability Derivatives | ||||||
Interest Rate Futures | ||||||
U.S. Treasury Note 10 yr | Long | USD | 100 | $13,925,000 | December – 2020 | $(6,531) |
U.S. Treasury Ultra Bond | Long | USD | 93 | 20,544,281 | December – 2020 | (138,515) |
$(145,046) |
Assets | |
Investments in unaffiliated issuers, at value, including $3,818,314 of securities on loan (identified cost, $2,244,895,347) | $2,492,960,632 |
Investments in affiliated issuers, at value (identified cost, $1,227,783,741) | 1,275,666,694 |
Foreign currency, at value (identified cost, $1,427) | 1,444 |
Restricted cash for | |
Forward foreign currency exchange contracts | 1,168,000 |
Receivables for | |
Forward foreign currency exchange contracts | 430,092 |
Net daily variation margin on open futures contracts | 220,993 |
Investments sold | 4,254,259 |
TBA sale commitments | 6,575,498 |
Fund shares sold | 4,855,954 |
Interest and dividends | 14,635,151 |
Other assets | 74,994 |
Total assets | $3,800,843,711 |
Liabilities | |
Payable to custodian | $90,201 |
Payables for | |
Distributions | 865,081 |
Forward foreign currency exchange contracts | 1,517,898 |
Investments purchased | 19,786,181 |
TBA purchase commitments | 135,087,739 |
Fund shares reacquired | 5,985,000 |
Collateral for securities loaned, at value | 4,006,086 |
Payable to affiliates | |
Investment adviser | 233,151 |
Administrative services fee | 5,273 |
Shareholder servicing costs | 1,066,721 |
Distribution and service fees | 105,848 |
Deferred country tax expense payable | 46,609 |
Accrued expenses and other liabilities | 226,499 |
Total liabilities | $169,022,287 |
Net assets | $3,631,821,424 |
Net assets consist of | |
Paid-in capital | $3,438,037,327 |
Total distributable earnings (loss) | 193,784,097 |
Net assets | $3,631,821,424 |
Shares of beneficial interest outstanding | 286,539,341 |
Net assets | Shares
outstanding |
Net
asset value per share (a) | |
Class A | $1,515,663,651 | 119,555,515 | $12.68 |
Class C | 583,100,320 | 46,024,049 | 12.67 |
Class I | 1,233,325,920 | 97,317,880 | 12.67 |
Class R1 | 226,893 | 17,918 | 12.66 |
Class R2 | 1,758,924 | 138,794 | 12.67 |
Class R3 | 24,452,131 | 1,928,421 | 12.68 |
Class R4 | 8,289,748 | 653,746 | 12.68 |
Class R6 | 265,003,837 | 20,903,018 | 12.68 |
(a) | Maximum offering price per share was equal to the net asset value per share for all share classes, except for Class A, for which the maximum offering price per share was $13.24 [100 / 95.75 x $12.68]. On sales of $100,000 or more, the maximum offering price of Class A shares is reduced. A contingent deferred sales charge may be imposed on redemptions of Class A and Class C shares. Redemption price per share was equal to the net asset value per share for Classes I, R1, R2, R3, R4, and R6. |
Net investment income (loss) | |
Income | |
Dividends from affiliated issuers | $28,300,918 |
Dividends | 25,733,947 |
Interest | 24,765,662 |
Other | 114,073 |
Income on securities loaned | 32,503 |
Foreign taxes withheld | (1,230,312) |
Total investment income | $77,716,791 |
Expenses | |
Management fee | $10,814,411 |
Distribution and service fees | 5,037,380 |
Shareholder servicing costs | 1,797,841 |
Administrative services fee | 251,527 |
Independent Trustees' compensation | 20,728 |
Custodian fee | 173,751 |
Shareholder communications | 98,834 |
Audit and tax fees | 37,882 |
Legal fees | 16,107 |
Miscellaneous | 191,707 |
Total expenses | $18,440,168 |
Fees paid indirectly | (3,071) |
Reduction of expenses by investment adviser and distributor | (204,223) |
Net expenses | $18,232,874 |
Net investment income (loss) | $59,483,917 |
Realized and unrealized gain (loss) | |
Realized gain (loss) (identified cost basis) | |
Unaffiliated issuers (net of $1,740 country tax) | $(64,560,697) |
Affiliated issuers | (7,794,099) |
Futures contracts | 4,020,376 |
Forward foreign currency exchange contracts | (1,976,417) |
Foreign currency | (273,888) |
Net realized gain (loss) | $(70,584,725) |
Change in unrealized appreciation or depreciation | |
Unaffiliated issuers (net of $43,058 increase in deferred country tax) | $(48,066,895) |
Affiliated issuers | 35,302,954 |
Futures contracts | (897,059) |
Forward foreign currency exchange contracts | (516,710) |
Translation of assets and liabilities in foreign currencies | 253,591 |
Net unrealized gain (loss) | $(13,924,119) |
Net realized and unrealized gain (loss) | $(84,508,844) |
Change in net assets from operations | $(25,024,927) |
Six months ended | Year ended | |
8/31/20
(unaudited) |
2/29/20 | |
Change in net assets | ||
From operations | ||
Net investment income (loss) | $59,483,917 | $108,203,482 |
Net realized gain (loss) | (70,584,725) | 19,607,860 |
Net unrealized gain (loss) | (13,924,119) | 123,180,461 |
Change in net assets from operations | $(25,024,927) | $250,991,803 |
Total distributions to shareholders | $(58,001,320) | $(109,438,936) |
Change in net assets from fund share transactions | $(284,628,785) | $352,804,556 |
Total change in net assets | $(367,655,032) | $494,357,423 |
Net assets | ||
At beginning of period | 3,999,476,456 | 3,505,119,033 |
At end of period | $3,631,821,424 | $3,999,476,456 |
Class A |
Six months ended |
Year ended | ||||
8/31/20
(unaudited) |
2/29/20 | 2/28/19
|
2/28/18 | 2/28/17 | 2/29/16 | |
Net asset value, beginning of period | $12.86 | $12.35 | $12.10 | $12.28 | $11.22 | $12.70 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.20 | $0.37 | $0.39 | $0.37 | $0.39 | $0.38 |
Net realized and unrealized gain (loss) | (0.18) | 0.51 | 0.33 | (0.10) | 1.08 | (1.06) |
Total from investment operations | $0.02 | $0.88 | $0.72 | $0.27 | $1.47 | $(0.68) |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.17) | $(0.37) | $(0.39) | $(0.39) | $(0.41) | $(0.39) |
From net realized gain | (0.03) | (0.00)(w) | (0.08) | (0.06) | (0.00)(w) | (0.41) |
Total distributions declared to shareholders | $(0.20) | $(0.37) | $(0.47) | $(0.45) | $(0.41) | $(0.80) |
Net asset value, end of period (x) | $12.68 | $12.86 | $12.35 | $12.10 | $12.28 | $11.22 |
Total return (%) (r)(s)(t)(x) | 0.21(n) | 7.20 | 6.10 | 2.19 | 13.26 | (5.53) |
Ratios
(%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f)(h) | 1.00(a) | 0.98 | 0.99 | 0.99 | 1.02 | 1.06 |
Expenses after expense reductions (f)(h) | 0.99(a) | 0.97 | 0.98 | 0.98 | 1.00 | 1.01 |
Net investment income (loss) | 3.30(a) | 2.86 | 3.21 | 2.97 | 3.25 | 3.17 |
Portfolio turnover | 59(n) | 57 | 36 | 44 | 46 | 62 |
Net assets at end of period (000 omitted) | $1,515,664 | $1,540,570 | $1,315,625 | $1,343,257 | $1,321,135 | $1,408,719 |
Class C |
Six months ended |
Year ended | ||||
8/31/20
(unaudited) |
2/29/20 | 2/28/19
|
2/28/18 | 2/28/17 | 2/29/16 | |
Net asset value, beginning of period | $12.85 | $12.35 | $12.09 | $12.28 | $11.22 | $12.70 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.16 | $0.28 | $0.30 | $0.28 | $0.30 | $0.29 |
Net realized and unrealized gain (loss) | (0.19) | 0.49 | 0.34 | (0.11) | 1.08 | (1.06) |
Total from investment operations | $(0.03) | $0.77 | $0.64 | $0.17 | $1.38 | $(0.77) |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.12) | $(0.27) | $(0.30) | $(0.30) | $(0.32) | $(0.30) |
From net realized gain | (0.03) | (0.00)(w) | (0.08) | (0.06) | (0.00)(w) | (0.41) |
Total distributions declared to shareholders | $(0.15) | $(0.27) | $(0.38) | $(0.36) | $(0.32) | $(0.71) |
Net asset value, end of period (x) | $12.67 | $12.85 | $12.35 | $12.09 | $12.28 | $11.22 |
Total return (%) (r)(s)(t)(x) | (0.16)(n) | 6.32 | 5.40 | 1.34 | 12.43 | (6.24) |
Ratios
(%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f)(h) | 1.75(a) | 1.73 | 1.75 | 1.74 | 1.77 | 1.81 |
Expenses after expense reductions (f)(h) | 1.74(a) | 1.72 | 1.74 | 1.73 | 1.75 | 1.76 |
Net investment income (loss) | 2.59(a) | 2.14 | 2.48 | 2.23 | 2.50 | 2.42 |
Portfolio turnover | 59(n) | 57 | 36 | 44 | 46 | 62 |
Net assets at end of period (000 omitted) | $583,100 | $724,758 | $756,643 | $931,292 | $1,046,946 | $939,801 |
Class I |
Six months ended |
Year ended | ||||
8/31/20
(unaudited) |
2/29/20 | 2/28/19
|
2/28/18 | 2/28/17 | 2/29/16 | |
Net asset value, beginning of period | $12.86 | $12.35 | $12.09 | $12.28 | $11.22 | $12.70 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.22 | $0.40 | $0.42 | $0.40 | $0.41 | $0.41 |
Net realized and unrealized gain (loss) | (0.20) | 0.51 | 0.34 | (0.11) | 1.09 | (1.06) |
Total from investment operations | $0.02 | $0.91 | $0.76 | $0.29 | $1.50 | $(0.65) |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.18) | $(0.40) | $(0.42) | $(0.42) | $(0.44) | $(0.42) |
From net realized gain | (0.03) | (0.00)(w) | (0.08) | (0.06) | (0.00)(w) | (0.41) |
Total distributions declared to shareholders | $(0.21) | $(0.40) | $(0.50) | $(0.48) | $(0.44) | $(0.83) |
Net asset value, end of period (x) | $12.67 | $12.86 | $12.35 | $12.09 | $12.28 | $11.22 |
Total return (%) (r)(s)(t)(x) | 0.26(n) | 7.46 | 6.45 | 2.36 | 13.54 | (5.29) |
Ratios
(%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f)(h) | 0.75(a) | 0.73 | 0.74 | 0.74 | 0.77 | 0.81 |
Expenses after expense reductions (f)(h) | 0.74(a) | 0.72 | 0.74 | 0.73 | 0.75 | 0.76 |
Net investment income (loss) | 3.57(a) | 3.11 | 3.47 | 3.23 | 3.44 | 3.42 |
Portfolio turnover | 59(n) | 57 | 36 | 44 | 46 | 62 |
Net assets at end of period (000 omitted) | $1,233,326 | $1,425,004 | $1,181,300 | $1,371,333 | $1,434,280 | $692,677 |
Class R1 |
Six months ended |
Year ended | ||||
8/31/20
(unaudited) |
2/29/20 | 2/28/19
|
2/28/18 | 2/28/17 | 2/29/16 | |
Net asset value, beginning of period | $12.85 | $12.34 | $12.08 | $12.26 | $11.21 | $12.68 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.16 | $0.27 | $0.31 | $0.28 | $0.31 | $0.29 |
Net realized and unrealized gain (loss) | (0.20) | 0.51 | 0.33 | (0.10) | 1.06 | (1.05) |
Total from investment operations | $(0.04) | $0.78 | $0.64 | $0.18 | $1.37 | $(0.76) |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.12) | $(0.27) | $(0.30) | $(0.30) | $(0.32) | $(0.30) |
From net realized gain | (0.03) | (0.00)(w) | (0.08) | (0.06) | (0.00)(w) | (0.41) |
Total distributions declared to shareholders | $(0.15) | $(0.27) | $(0.38) | $(0.36) | $(0.32) | $(0.71) |
Net asset value, end of period (x) | $12.66 | $12.85 | $12.34 | $12.08 | $12.26 | $11.21 |
Total return (%) (r)(s)(t)(x) | (0.24)(n) | 6.40 | 5.40 | 1.42 | 12.35 | (6.17) |
Ratios
(%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f)(h) | 1.75(a) | 1.73 | 1.75 | 1.75 | 1.77 | 1.81 |
Expenses after expense reductions (f)(h) | 1.74(a) | 1.72 | 1.74 | 1.74 | 1.75 | 1.76 |
Net investment income (loss) | 2.55(a) | 2.12 | 2.57 | 2.29 | 2.55 | 2.43 |
Portfolio turnover | 59(n) | 57 | 36 | 44 | 46 | 62 |
Net assets at end of period (000 omitted) | $227 | $214 | $193 | $573 | $938 | $1,268 |
Class R2 |
Six months ended |
Year ended | ||||
8/31/20
(unaudited) |
2/29/20 | 2/28/19
|
2/28/18 | 2/28/17 | 2/29/16 | |
Net asset value, beginning of period | $12.86 | $12.35 | $12.09 | $12.28 | $11.22 | $12.70 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.19 | $0.34 | $0.36 | $0.34 | $0.36 | $0.35 |
Net realized and unrealized gain (loss) | (0.20) | 0.51 | 0.34 | (0.11) | 1.08 | (1.06) |
Total from investment operations | $(0.01) | $0.85 | $0.70 | $0.23 | $1.44 | $(0.71) |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.15) | $(0.34) | $(0.36) | $(0.36) | $(0.38) | $(0.36) |
From net realized gain | (0.03) | (0.00)(w) | (0.08) | (0.06) | (0.00)(w) | (0.41) |
Total distributions declared to shareholders | $(0.18) | $(0.34) | $(0.44) | $(0.42) | $(0.38) | $(0.77) |
Net asset value, end of period (x) | $12.67 | $12.86 | $12.35 | $12.09 | $12.28 | $11.22 |
Total return (%) (r)(s)(t)(x) | 0.01(n) | 6.93 | 5.92 | 1.85 | 12.98 | (5.77) |
Ratios
(%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f)(h) | 1.25(a) | 1.23 | 1.25 | 1.24 | 1.27 | 1.31 |
Expenses after expense reductions (f)(h) | 1.24(a) | 1.22 | 1.24 | 1.23 | 1.25 | 1.26 |
Net investment income (loss) | 3.12(a) | 2.65 | 2.99 | 2.73 | 2.99 | 2.94 |
Portfolio turnover | 59(n) | 57 | 36 | 44 | 46 | 62 |
Net assets at end of period (000 omitted) | $1,759 | $3,085 | $3,486 | $4,396 | $4,223 | $3,139 |
Class R3 |
Six months ended |
Year ended | ||||
8/31/20
(unaudited) |
2/29/20 | 2/28/19
|
2/28/18 | 2/28/17 | 2/29/16 | |
Net asset value, beginning of period | $12.86 | $12.36 | $12.10 | $12.28 | $11.23 | $12.71 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.20 | $0.37 | $0.39 | $0.37 | $0.39 | $0.38 |
Net realized and unrealized gain (loss) | (0.18) | 0.50 | 0.34 | (0.10) | 1.07 | (1.06) |
Total from investment operations | $0.02 | $0.87 | $0.73 | $0.27 | $1.46 | $(0.68) |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.17) | $(0.37) | $(0.39) | $(0.39) | $(0.41) | $(0.39) |
From net realized gain | (0.03) | (0.00)(w) | (0.08) | (0.06) | (0.00)(w) | (0.41) |
Total distributions declared to shareholders | $(0.20) | $(0.37) | $(0.47) | $(0.45) | $(0.41) | $(0.80) |
Net asset value, end of period (x) | $12.68 | $12.86 | $12.36 | $12.10 | $12.28 | $11.23 |
Total return (%) (r)(s)(t)(x) | 0.21(n) | 7.11 | 6.18 | 2.19 | 13.16 | (5.52) |
Ratios
(%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f)(h) | 1.00(a) | 0.98 | 1.00 | 0.99 | 1.02 | 1.07 |
Expenses after expense reductions (f)(h) | 0.99(a) | 0.97 | 0.99 | 0.98 | 1.00 | 1.02 |
Net investment income (loss) | 3.30(a) | 2.86 | 3.21 | 2.97 | 3.24 | 3.19 |
Portfolio turnover | 59(n) | 57 | 36 | 44 | 46 | 62 |
Net assets at end of period (000 omitted) | $24,452 | $24,385 | $19,159 | $20,013 | $19,274 | $15,393 |
Class R4 |
Six months ended |
Year ended | ||||
8/31/20
(unaudited) |
2/29/20 | 2/28/19
|
2/28/18 | 2/28/17 | 2/29/16 | |
Net asset value, beginning of period | $12.86 | $12.36 | $12.10 | $12.29 | $11.23 | $12.71 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.22 | $0.41 | $0.41 | $0.40 | $0.42 | $0.41 |
Net realized and unrealized gain (loss) | (0.19) | 0.49 | 0.35 | (0.10) | 1.08 | (1.06) |
Total from investment operations | $0.03 | $0.90 | $0.76 | $0.30 | $1.50 | $(0.65) |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.18) | $(0.40) | $(0.42) | $(0.43) | $(0.44) | $(0.42) |
From net realized gain | (0.03) | (0.00)(w) | (0.08) | (0.06) | (0.00)(w) | (0.41) |
Total distributions declared to shareholders | $(0.21) | $(0.40) | $(0.50) | $(0.49) | $(0.44) | $(0.83) |
Net asset value, end of period (x) | $12.68 | $12.86 | $12.36 | $12.10 | $12.29 | $11.23 |
Total return (%) (r)(s)(t)(x) | 0.34(n) | 7.38 | 6.45 | 2.36 | 13.53 | (5.29) |
Ratios
(%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f)(h) | 0.75(a) | 0.73 | 0.74 | 0.74 | 0.77 | 0.81 |
Expenses after expense reductions (f)(h) | 0.74(a) | 0.72 | 0.73 | 0.73 | 0.75 | 0.76 |
Net investment income (loss) | 3.58(a) | 3.15 | 3.43 | 3.20 | 3.50 | 3.42 |
Portfolio turnover | 59(n) | 57 | 36 | 44 | 46 | 62 |
Net assets at end of period (000 omitted) | $8,290 | $9,783 | $10,063 | $7,915 | $6,179 | $5,173 |
Class R6 |
Six months ended |
Year ended | ||||
8/31/20
(unaudited) |
2/29/20 | 2/28/19
|
2/28/18 | 2/28/17 | 2/29/16 | |
Net asset value, beginning of period | $12.86 | $12.35 | $12.10 | $12.28 | $11.22 | $12.70 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.22 | $0.41 | $0.43 | $0.38 | $0.43 | $0.42 |
Net realized and unrealized gain (loss) | (0.18) | 0.51 | 0.33 | (0.06)(g) | 1.08 | (1.06) |
Total from investment operations | $0.04 | $0.92 | $0.76 | $0.32 | $1.51 | $(0.64) |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.19) | $(0.41) | $(0.43) | $(0.44) | $(0.45) | $(0.43) |
From net realized gain | (0.03) | (0.00)(w) | (0.08) | (0.06) | (0.00)(w) | (0.41) |
Total distributions declared to shareholders | $(0.22) | $(0.41) | $(0.51) | $(0.50) | $(0.45) | $(0.84) |
Net asset value, end of period (x) | $12.68 | $12.86 | $12.35 | $12.10 | $12.28 | $11.22 |
Total return (%) (r)(s)(t)(x) | 0.39(n) | 7.55 | 6.46 | 2.54 | 13.65 | (5.20) |
Ratios
(%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f)(h) | 0.65(a) | 0.64 | 0.65 | 0.65 | 0.67 | 0.70 |
Expenses after expense reductions (f)(h) | 0.64(a) | 0.63 | 0.64 | 0.64 | 0.65 | 0.65 |
Net investment income (loss) | 3.66(a) | 3.19 | 3.55 | 3.08 | 3.57 | 3.55 |
Portfolio turnover | 59(n) | 57 | 36 | 44 | 46 | 62 |
Net assets at end of period (000 omitted) | $265,004 | $271,679 | $218,650 | $214,111 | $15,036 | $11,073 |
(a) | Annualized. |
(d) | Per share data is based on average shares outstanding. |
(f) | Ratios do not reflect reductions from fees paid indirectly, if applicable. |
(g) | The per share amount varies from the net realized and unrealized gain/loss for the period because of the timing of sales of fund shares and the per share amount of realized and unrealized gains and losses at such time. |
(h) | In addition to the fees and expenses which the fund bears directly, the fund indirectly bears a pro rata share of the fees and expenses of the underlying affiliated funds in which the fund invests. Accordingly, the expense ratio for the fund reflects only those fees and expenses borne directly by the fund. Because the underlying affiliated funds have varied expense and fee levels and the fund may own different proportions of the underlying affiliated funds at different times, the amount of fees and expenses incurred indirectly by the fund will vary. |
(n) | Not annualized. |
(r) | Certain expenses have been reduced without which performance would have been lower. |
(s) | From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower. |
(t) | Total returns do not include any applicable sales charges. |
(w) | Per share amount was less than $0.01. |
(x) | The net asset values and total returns have been calculated on net assets which include adjustments made in accordance with U.S. generally accepted accounting principles required at period end for financial reporting purposes. |
Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
Equity Securities: | ||||
United States | $794,763,198 | $192,000 | $— | $794,955,198 |
Switzerland | 43,917,685 | — | — | 43,917,685 |
Canada | 41,742,181 | — | — | 41,742,181 |
Japan | — | 39,600,808 | — | 39,600,808 |
United Kingdom | 29,899,043 | — | — | 29,899,043 |
Taiwan | 23,105,100 | 4,220,571 | — | 27,325,671 |
China | — | 25,157,408 | — | 25,157,408 |
France | 20,774,091 | — | — | 20,774,091 |
Singapore | — | 12,578,464 | — | 12,578,464 |
Other Countries | 49,452,717 | 19,168,693 | — | 68,621,410 |
U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | — | 218,061,507 | — | 218,061,507 |
Non - U.S. Sovereign Debt | — | 412,734,682 | — | 412,734,682 |
Municipal Bonds | — | 21,085,924 | — | 21,085,924 |
U.S. Corporate Bonds | — | 16,320,458 | — | 16,320,458 |
Residential Mortgage-Backed Securities | — | 508,102,241 | — | 508,102,241 |
Commercial Mortgage-Backed Securities | — | 35,354,313 | — | 35,354,313 |
Asset-Backed Securities (including CDOs) | — | 11,505,990 | — | 11,505,990 |
Foreign Bonds | — | 161,217,472 | — | 161,217,472 |
Mutual Funds | 1,279,672,780 | — | — | 1,279,672,780 |
Total | $2,283,326,795 | $1,485,300,531 | $— | $3,768,627,326 |
Other Financial Instruments | ||||
Futures Contracts – Assets | $64,775 | $— | $— | $64,775 |
Futures Contracts – Liabilities | (145,046) | — | — | (145,046) |
Forward Foreign Currency Exchange Contracts – Assets | — | 430,092 | — | 430,092 |
Forward Foreign Currency Exchange Contracts – Liabilities | — | (1,517,898) | — | (1,517,898) |
Fair Value (a) | |||
Risk | Derivative Contracts | Asset Derivatives | Liability Derivatives |
Interest Rate | Interest Rate Futures | $64,775 | $(145,046) |
Foreign Exchange | Forward Foreign Currency Exchange Contracts | 430,092 | (1,517,898) |
Equity | Purchased Equity Options | 192,000 | — |
Total | $686,867 | $(1,662,944) |
(a) | Values presented in this table for futures contracts correspond to the values reported in the fund's Portfolio of Investments. Only the current day net variation margin for futures contracts is separately reported within the fund's Statement of Assets and Liabilities. |
Risk | Futures
Contracts |
Forward
Foreign Currency Exchange Contracts |
Interest Rate | $4,020,376 | $ — |
Foreign Exchange | — | (1,976,417) |
Total | $4,020,376 | $(1,976,417) |
Risk | Futures
Contracts |
Forward
Foreign Currency Exchange Contracts |
Unaffiliated
Issuers (Purchased Options) |
Interest Rate | $(897,059) | $ — | $ |
Foreign Exchange | — | (516,710) | — |
Equity | — | — | (10,827,600) |
Total | $(897,059) | $(516,710) | $(10,827,600) |
Year
ended 2/29/20 | |
Ordinary income (including any short-term capital gains) | $108,420,660 |
Long-term capital gains | 1,018,276 |
Total distributions | $109,438,936 |
As of 8/31/20 | |
Cost of investments | $3,515,239,413 |
Gross appreciation | 346,852,650 |
Gross depreciation | (93,464,737) |
Net unrealized appreciation (depreciation) | $ 253,387,913 |
As of 2/29/20 | |
Undistributed ordinary income | 5,703,879 |
Undistributed long-term capital gain | 6,801,717 |
Other temporary differences | (7,562,415) |
Net unrealized appreciation (depreciation) | 271,867,163 |
Six
months ended 8/31/20 |
Year
ended 2/29/20 | ||
Class A | $23,390,144 | $41,919,683 | |
Class C | 7,869,655 | 16,289,000 | |
Class I | 21,559,598 | 42,120,098 | |
Class R1 | 2,644 | 4,462 | |
Class R2 | 28,948 | 90,558 | |
Class R3 | 381,905 | 673,474 | |
Class R4 | 148,643 | 314,444 | |
Class R6 | 4,619,783 | 8,027,217 | |
Total | $58,001,320 | $109,438,936 |
Up to $1 billion | 0.65% |
In excess of $1 billion and up to $2.5 billion | 0.60% |
In excess of $2.5 billion and up to $5 billion | 0.55% |
In excess of $5 billion | 0.50% |
Classes | |||||||
A | C | I | R1 | R2 | R3 | R4 | R6 |
1.10% | 1.85% | 0.85% | 1.85% | 1.35% | 1.10% | 0.85% | 0.79% |
Distribution
Fee Rate (d) |
Service
Fee Rate (d) |
Total
Distribution Plan (d) |
Annual
Effective Rate (e) |
Distribution
and Service Fee | |
Class A | — | 0.25% | 0.25% | 0.25% | $ 1,793,562 |
Class C | 0.75% | 0.25% | 1.00% | 1.00% | 3,208,502 |
Class R1 | 0.75% | 0.25% | 1.00% | 1.00% | 1,054 |
Class R2 | 0.25% | 0.25% | 0.50% | 0.50% | 4,927 |
Class R3 | — | 0.25% | 0.25% | 0.25% | 29,335 |
Total Distribution and Service Fees | $5,037,380 |
(d) | In accordance with the distribution plan for certain classes, the fund pays distribution and/or service fees equal to these annual percentage rates of each class’s average daily net assets. The distribution and service fee rates disclosed by class represent the current rates in effect at the end of the reporting period. Any rate changes, if applicable, are detailed below. |
(e) | The annual effective rates represent actual fees incurred under the distribution plan for the six months ended August 31, 2020 based on each class's average daily net assets.MFD has voluntarily agreed to rebate a portion of each class's 0.25% service fee attributable to accounts for which there is no financial intermediary specified on the account except for accounts attributable to MFS or its affiliates' seed money. For the six months ended August 31, 2020, this rebate amounted to $3,507 and $111 for Class A and Class C, respectively, and is included in the reduction of total expenses in the Statement of Operations. |
Amount | |
Class A | $26,638 |
Class C | 32,027 |
Purchases | Sales | |
U.S. Government securities | $1,144,693,073 | $1,205,240,368 |
Non-U.S. Government securities | 937,465,003 | 1,141,510,412 |
Six
months ended 8/31/20 |
Year
ended 2/29/20 | ||||
Shares | Amount | Shares | Amount | ||
Shares sold | |||||
Class A | 14,748,815 | $179,730,676 | 33,397,250 | $432,492,400 | |
Class C | 1,523,060 | 18,371,047 | 7,319,171 | 94,616,782 | |
Class I | 13,293,451 | 160,520,472 | 34,542,844 | 445,153,078 | |
Class R1 | 2,206 | 26,668 | 4,621 | 59,749 | |
Class R2 | 13,187 | 158,147 | 63,533 | 812,885 | |
Class R3 | 146,085 | 1,770,286 | 550,318 | 7,045,771 | |
Class R4 | 83,721 | 1,029,670 | 150,291 | 1,937,454 | |
Class R6 | 2,703,071 | 32,728,421 | 6,103,973 | 78,908,162 | |
32,513,596 | $394,335,387 | 82,132,001 | $1,061,026,281 | ||
Shares
issued to shareholders in reinvestment of distributions |
|||||
Class A | 1,836,954 | $22,440,660 | 3,139,826 | $40,502,983 | |
Class C | 567,770 | 6,938,411 | 1,099,094 | 14,146,037 | |
Class I | 1,424,893 | 17,374,481 | 2,594,358 | 33,466,978 | |
Class R1 | 216 | 2,644 | 346 | 4,447 | |
Class R2 | 2,126 | 25,885 | 4,968 | 63,932 | |
Class R3 | 31,221 | 381,685 | 52,157 | 673,119 | |
Class R4 | 12,183 | 148,643 | 24,369 | 313,901 | |
Class R6 | 359,830 | 4,393,318 | 590,182 | 7,616,729 | |
4,235,193 | $51,705,727 | 7,505,300 | $96,788,126 | ||
Shares reacquired | |||||
Class A | (16,810,554) | $(200,488,742) | (23,252,210) | $(300,155,620) | |
Class C | (12,453,001) | (152,429,996) | (13,316,040) | (171,821,552) | |
Class I | (28,230,167) | (332,580,038) | (21,957,935) | (283,122,011) | |
Class R1 | (1,128) | (13,420) | (3,964) | (50,844) | |
Class R2 | (116,525) | (1,461,710) | (110,815) | (1,421,242) | |
Class R3 | (144,492) | (1,753,356) | (257,504) | (3,331,048) | |
Class R4 | (202,651) | (2,452,141) | (228,659) | (2,939,419) | |
Class R6 | (3,282,349) | (39,490,496) | (3,270,446) | (42,168,115) | |
(61,240,867) | $(730,669,899) | (62,397,573) | $(805,009,851) |
Six
months ended 8/31/20 |
Year
ended 2/29/20 | ||||
Shares | Amount | Shares | Amount | ||
Net change | |||||
Class A | (224,785) | $1,682,594 | 13,284,866 | $172,839,763 | |
Class C | (10,362,171) | (127,120,538) | (4,897,775) | (63,058,733) | |
Class I | (13,511,823) | (154,685,085) | 15,179,267 | 195,498,045 | |
Class R1 | 1,294 | 15,892 | 1,003 | 13,352 | |
Class R2 | (101,212) | (1,277,678) | (42,314) | (544,425) | |
Class R3 | 32,814 | 398,615 | 344,971 | 4,387,842 | |
Class R4 | (106,747) | (1,273,828) | (53,999) | (688,064) | |
Class R6 | (219,448) | (2,368,757) | 3,423,709 | 44,356,776 | |
(24,492,078) | $(284,628,785) | 27,239,728 | $352,804,556 |
Affiliated Issuers | Beginning
Value |
Purchases | Sales
Proceeds |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation or Depreciation |
Ending
Value |
MFS High Yield Pooled Portfolio | $666,403,930 | $449,892,793 | $87,357,455 | $(7,824,597) | $35,347,714 | $1,056,462,385 |
MFS Institutional Money Market Portfolio | 209,437,828 | 646,021,996 | 636,241,253 | 30,498 | (44,760) | 219,204,309 |
$875,841,758 | $1,095,914,789 | $723,598,708 | $(7,794,099) | $35,302,954 | $1,275,666,694 |
Affiliated Issuers | Dividend
Income |
Capital
Gain Distributions |
MFS High Yield Pooled Portfolio | $27,897,130 | $— |
MFS Institutional Money Market Portfolio | 403,788 | — |
$28,300,918 | $— |
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back cover |
(a) | For all securities other than those specifically described below, ratings are assigned to underlying securities utilizing ratings from Moody’s, Fitch, and Standard & Poor’s rating agencies and applying the following hierarchy: If all three agencies provide a rating, the middle rating (after dropping the highest and lowest ratings) is assigned; if two of the three agencies rate a security, the lower of the two is assigned. If none of the 3 rating agencies above assign a rating, but the security is rated by DBRS Morningstar, then the DBRS Morningstar rating is assigned. Ratings are shown in the S&P and Fitch scale (e.g., AAA). Securities rated BBB or higher are considered investment grade. All ratings are subject to change.U.S. Government includes securities issued by the U.S. Department of the Treasury. Federal Agencies includes rated and unrated U.S. Agency fixed-income securities, U.S. Agency mortgage-backed securities, and collateralized mortgage obligations of U.S. Agency mortgage-backed securities.Not Rated includes fixed income securities and fixed income derivatives, which have not been rated by any rating agency.The fund may or may not have held all of these instruments on this date. The fund is not rated by these agencies. |
(d) | Duration is a measure of how much a bond’s price is likely to fluctuate with general changes in interest rates, e.g., if rates rise 1.00%, a bond with a 5-year duration is likely to lose about 5.00% of its value due to the interest rate move. |
(i) | For purposes of this presentation, the components include the value of securities, and reflect the impact of the equivalent exposure of derivative positions, if any. These amounts may be negative from time to time. Equivalent exposure is a calculated amount that translates the derivative position into a reasonable approximation of the amount of the underlying asset that the portfolio would have to hold at a given point in time to have the same price sensitivity that results from the portfolio’s ownership of the derivative contract. When dealing with derivatives, equivalent exposure is a more representative measure of the potential impact of a position on portfolio performance than value. The bond component will include any accrued interest amounts. |
(m) | In determining each instrument’s effective maturity for purposes of calculating the fund’s dollar-weighted average effective maturity, MFS uses the instrument’s stated maturity or, if applicable, an earlier date on which MFS believes it is probable that a maturity-shortening device (such as a put, pre-refunding or prepayment) will cause the instrument to be repaid. Such an earlier date can be substantially shorter than the instrument’s stated maturity. |
(o) | Less than 0.1%. |
Share
Class |
Annualized
Expense Ratio |
Beginning
Account Value 3/01/20 |
Ending
Account Value 8/31/20 |
Expenses
Paid During Period (p) 3/01/20-8/31/20 | |
A | Actual | 0.81% | $1,000.00 | $1,027.48 | $4.14 |
Hypothetical (h) | 0.81% | $1,000.00 | $1,021.12 | $4.13 | |
B | Actual | 1.56% | $1,000.00 | $1,022.71 | $7.95 |
Hypothetical (h) | 1.56% | $1,000.00 | $1,017.34 | $7.93 | |
C | Actual | 1.56% | $1,000.00 | $1,023.65 | $7.96 |
Hypothetical (h) | 1.56% | $1,000.00 | $1,017.34 | $7.93 | |
I | Actual | 0.56% | $1,000.00 | $1,027.78 | $2.86 |
Hypothetical (h) | 0.56% | $1,000.00 | $1,022.38 | $2.85 | |
R1 | Actual | 1.56% | $1,000.00 | $1,022.71 | $7.95 |
Hypothetical (h) | 1.56% | $1,000.00 | $1,017.34 | $7.93 | |
R2 | Actual | 1.06% | $1,000.00 | $1,025.24 | $5.41 |
Hypothetical (h) | 1.06% | $1,000.00 | $1,019.86 | $5.40 | |
R3 | Actual | 0.81% | $1,000.00 | $1,027.49 | $4.14 |
Hypothetical (h) | 0.81% | $1,000.00 | $1,021.12 | $4.13 | |
R4 | Actual | 0.56% | $1,000.00 | $1,028.75 | $2.86 |
Hypothetical (h) | 0.56% | $1,000.00 | $1,022.38 | $2.85 | |
R6 | Actual | 0.48% | $1,000.00 | $1,029.21 | $2.46 |
Hypothetical (h) | 0.48% | $1,000.00 | $1,022.79 | $2.45 |
(h) | 5% class return per year before expenses. |
(p) | “Expenses Paid During Period” are equal to each class’s annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses paid do not include any applicable sales charges (loads). If these transaction costs had been included, your costs would have been higher. |
Issuer | Shares/Par | Value ($) | ||
Bonds – 95.2% | ||||
Asset-Backed & Securitized – 4.8% | ||||
Bancorp Commercial Mortgage Trust, 2019-CRE6, “A”, FLR, 7% (LIBOR - 1mo. + 1.05%), 9/15/2036 (n) | $ | 8,185,458 | $ 8,057,493 | |
Benchmark Mortgage Trust 2020-B18, “A5”, 1.925%, 8/15/2053 | 5,074,627 | 5,217,179 | ||
Cantor Commercial Real Estate, 2019-CF3, “A4”, 3.005%, 1/15/2053 | 5,105,000 | 5,671,262 | ||
Capital Automotive, 2020-1A, “A4”, REIT, 3.19%, 2/15/2050 (n) | 1,259,562 | 1,265,667 | ||
Citigroup Commercial Mortgage Trust, 2015-GC27, “A5”, 3.137%, 2/10/2048 | 1,000,000 | 1,075,885 | ||
Citigroup Commercial Mortgage Trust, 2019-C7, “A4”, 3.102%, 12/15/2072 | 1,830,317 | 2,061,154 | ||
Citigroup Commercial Mortgage Trust, 2019-XA, “C7”, 1.007%, 12/15/2072 (i)(n) | 23,620,854 | 1,536,551 | ||
Commercial Mortgage Pass-Through Certificates, 2019-BN24, “A3”, 2.96%, 11/15/2062 | 3,955,238 | 4,416,877 | ||
Commercial Mortgage Trust, 2014-CR19, “A5”, 3.796%, 8/10/2047 | 1,000,000 | 1,094,428 | ||
Commercial Mortgage Trust, 2015-DC1, “A5”, 3.35%, 2/10/2048 | 4,990,000 | 5,382,239 | ||
Commercial Mortgage Trust, 2015-LC21, “A4”, 3.708%, 7/10/2048 | 3,135,000 | 3,459,564 | ||
Commercial Mortgage Trust, 2015-PC1, “A5”, 3.902%, 7/10/2050 | 5,300,000 | 5,889,658 | ||
Commercial Mortgage Trust, 2017-COR2, “A3”, 3.51%, 9/10/2050 | 5,351,861 | 5,948,361 | ||
CSAIL Commercial Mortgage Trust, 2015-C2, “A4”, 3.504%, 6/15/2057 | 5,341,994 | 5,819,311 | ||
Dryden Senior Loan Fund, 2018-55A, “A1”, CLO, FLR, 1.295% (LIBOR - 3mo. + 1.02%), 4/15/2031 (n) | 6,145,237 | 6,064,052 | ||
GS Mortgage Securities Trust, 2015-GC30, “A4”, 3.382%, 5/10/2050 | 5,951,000 | 6,501,298 | ||
GS Mortgage Securities Trust, 2015-GC32, “A2”, 3.062%, 7/10/2048 | 526,136 | 529,096 | ||
GS Mortgage Securities Trust, 2020-GC45, “A5”, 3.5%, 2/13/2053 | 3,429,659 | 3,783,476 | ||
Loomis, Sayles & Co., CLO, 2015-2A, “A2R”, FLR, 1.675% (LIBOR - 3mo. + 1.4%), 4/15/2028 (n) | 5,409,775 | 5,299,069 | ||
Madison Park Funding Ltd., 2014-13A, “BR2”, FLR, 1.305% (LIBOR - 3mo. + 1.5%), 4/19/2030 (n) | 5,711,934 | 5,592,892 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, 2017-C34, “A4”, 3.536%, 11/15/2052 | 1,650,987 | 1,859,217 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Asset-Backed & Securitized – continued | ||||
Morgan Stanley Capital I Trust, 2018-H4, “XA”, 1.031%, 12/15/2051 (i) | $ | 25,026,606 | $ 1,432,948 | |
Neuberger Berman CLO Ltd., 2015-20, “AR”, FLR, 1.075% (LIBOR - 3mo. + 0.8%), 1/15/2028 (n) | 2,245,002 | 2,220,455 | ||
Palmer Square Loan Funding Ltd., 2020-1A, “A2”, FLR, 1.603% (LIBOR - 3mo. + 1.35%), 2/20/2028 (n) | 3,163,115 | 3,071,862 | ||
Symphony CLO Ltd., 2016-17A, “BR”, FLR, 1.475% (LIBOR - 3mo. + 1.2%), 4/15/2028 (n) | 4,840,622 | 4,763,855 | ||
UBS Commercial Mortgage Trust, 2017-C1, “A4”, 3.544%, 11/15/2050 | 4,509,000 | 5,134,016 | ||
Wells Fargo Commercial Mortgage Trust, 2015-C28, “A4”, 3.54%, 5/15/2048 | 3,306,348 | 3,644,347 | ||
Wells Fargo Commercial Mortgage Trust, 2016-LC25, “A4”, 3.64%, 12/15/2059 | 1,960,000 | 2,201,117 | ||
Wells Fargo Commercial Mortgage Trust, 2018-C48, “XA”, 2.659%, 1/15/2052 (i)(n) | 14,577,793 | 922,685 | ||
Wells Fargo Commercial Mortgage Trust, 2019-C54, “A4”, 3.146%, 12/15/2052 | 7,948,914 | 8,954,567 | ||
$118,870,581 | ||||
Automotive – 0.3% | ||||
Hyundai Capital America, 2.85%, 11/01/2022 (n) | $ | 2,831,000 | $ 2,931,243 | |
Hyundai Capital America, 2.375%, 2/10/2023 (n) | 1,899,000 | 1,949,123 | ||
Volkswagen Group of America Co., 2.7%, 9/26/2022 (n) | 3,532,000 | 3,672,052 | ||
$8,552,418 | ||||
Consumer Products – 0.2% | ||||
Reckitt Benckiser Treasury Services PLC, 2.75%, 6/26/2024 (n) | $ | 4,386,000 | $ 4,712,381 | |
Consumer Services – 0.1% | ||||
Conservation Fund, 3.474%, 12/15/2029 | $ | 2,464,000 | $ 2,661,902 | |
Industrial – 0.1% | ||||
Howard University, Washington D.C., 2.638%, 10/01/2021 | $ | 436,000 | $ 430,731 | |
Howard University, Washington D.C., 2.738%, 10/01/2022 | 458,000 | 465,466 | ||
Howard University, Washington D.C., 2.801%, 10/01/2023 | 505,000 | 518,017 | ||
Howard University, Washington D.C., AGM, 2.416%, 10/01/2024 | 556,000 | 567,834 | ||
Howard University, Washington D.C., AGM, 2.516%, 10/01/2025 | 688,000 | 704,733 | ||
$2,686,781 | ||||
Major Banks – 0.1% | ||||
UBS Group AG, 3.491%, 5/23/2023 (n) | $ | 2,120,000 | $ 2,223,590 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Medical & Health Technology & Services – 0.7% | ||||
Montefiore Obligated Group, AGM, 5.246%, 11/01/2048 | $ | 7,884,000 | $ 10,245,060 | |
ProMedica Toledo Hospital, “B”, AGM, 5.325%, 11/15/2028 | 4,139,000 | 5,052,799 | ||
ProMedica Toledo Hospital, “B”, AGM, 5.75%, 11/15/2038 | 1,992,000 | 2,354,063 | ||
$17,651,922 | ||||
Mortgage-Backed – 55.8% | ||||
Fannie Mae, 4.5%, 11/01/2020 - 6/01/2044 | $ | 42,378,886 | $ 47,304,498 | |
Fannie Mae, 5%, 12/01/2020 - 3/01/2042 | 15,521,186 | 17,794,730 | ||
Fannie Mae, 6%, 2/01/2021 - 12/01/2037 | 3,210,929 | 3,732,831 | ||
Fannie Mae, 2.152%, 1/25/2023 | 2,822,841 | 2,883,300 | ||
Fannie Mae, 2.41%, 5/01/2023 | 1,404,649 | 1,461,392 | ||
Fannie Mae, 2.55%, 5/01/2023 | 1,208,736 | 1,261,876 | ||
Fannie Mae, 2.59%, 5/01/2023 | 769,534 | 804,210 | ||
Fannie Mae, 5.5%, 6/01/2023 - 4/01/2050 | 19,629,745 | 22,891,280 | ||
Fannie Mae, 3.78%, 10/01/2023 | 862,093 | 930,720 | ||
Fannie Mae, 3.5%, 5/25/2025 - 5/01/2049 | 80,793,277 | 86,935,457 | ||
Fannie Mae, 3.59%, 9/01/2026 | 988,656 | 1,122,080 | ||
Fannie Mae, 2.28%, 11/01/2026 | 886,113 | 950,748 | ||
Fannie Mae, 2.67%, 12/25/2026 | 10,346,000 | 11,265,861 | ||
Fannie Mae, 3.147%, 3/25/2028 | 4,554,000 | 5,131,650 | ||
Fannie Mae, 4%, 3/25/2028 - 7/01/2047 | 85,386,859 | 93,721,617 | ||
Fannie Mae, 3%, 11/01/2028 - 5/25/2053 | 106,755,999 | 113,881,501 | ||
Fannie Mae, 2.5%, 11/01/2031 - 7/01/2050 | 24,967,893 | 26,416,946 | ||
Fannie Mae, 3.5%, 12/25/2031 - 2/25/2036 (i) | 3,107,502 | 325,850 | ||
Fannie Mae, 6.5%, 1/01/2032 - 10/01/2037 | 1,401,521 | 1,625,335 | ||
Fannie Mae, 3%, 2/25/2033 (i) | 2,596,153 | 282,713 | ||
Fannie Mae, 2%, 10/25/2040 - 4/25/2046 | 4,996,190 | 5,137,181 | ||
Fannie Mae, 1.75%, 9/25/2041 - 10/25/2041 | 12,728,097 | 12,986,764 | ||
Fannie Mae, 2.75%, 9/25/2042 | 3,485,933 | 3,665,882 | ||
Fannie Mae, TBA, 2%, 1/11/2028 - 10/01/2050 | 57,525,000 | 59,473,576 | ||
Fannie Mae, TBA, 2.5%, 9/01/2035 - 10/01/2050 | 115,365,000 | 121,231,314 | ||
Fannie Mae, TBA, 3%, 9/01/2035 - 9/01/2050 | 50,285,603 | 52,978,783 | ||
Fannie Mae, TBA, 3.5%, 9/01/2035 - 9/01/2050 | 17,604,066 | 18,577,804 | ||
Fannie Mae, TBA, 1.5%, 8/01/2050 | 4,750,000 | 4,861,978 | ||
Fannie Mae, TBA, 4%, 9/01/2050 | 9,175,000 | 9,778,901 | ||
Freddie Mac, 3.034%, 10/25/2020 | 887,821 | 888,322 | ||
Freddie Mac, 5.5%, 4/01/2021 - 9/01/2041 | 6,595,937 | 7,644,440 | ||
Freddie Mac, 6%, 5/01/2021 - 10/01/2038 | 2,244,566 | 2,585,490 | ||
Freddie Mac, 5%, 12/01/2021 - 12/01/2044 | 15,546,650 | 17,934,240 | ||
Freddie Mac, 4.5%, 11/01/2022 - 5/01/2042 | 6,750,020 | 7,504,376 | ||
Freddie Mac, 2.51%, 11/25/2022 | 6,640,000 | 6,907,891 | ||
Freddie Mac, 3.32%, 2/25/2023 | 4,605,000 | 4,904,768 | ||
Freddie Mac, 3.25%, 4/25/2023 | 9,000,000 | 9,591,388 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Mortgage-Backed – continued | ||||
Freddie Mac, 3.06%, 7/25/2023 | $ | 871,000 | $ 928,829 | |
Freddie Mac, 3.531%, 7/25/2023 | 240,000 | 259,089 | ||
Freddie Mac, 3.458%, 8/25/2023 | 4,600,000 | 4,960,782 | ||
Freddie Mac, 1.022%, 4/25/2024 (i) | 50,980,809 | 1,277,528 | ||
Freddie Mac, 0.733%, 7/25/2024 (i) | 59,153,153 | 1,087,270 | ||
Freddie Mac, 3.303%, 7/25/2024 | 4,700,000 | 5,153,354 | ||
Freddie Mac, 3.064%, 8/25/2024 | 6,098,509 | 6,630,134 | ||
Freddie Mac, 2.67%, 12/25/2024 | 10,788,000 | 11,674,152 | ||
Freddie Mac, 2.811%, 1/25/2025 | 9,000,000 | 9,801,301 | ||
Freddie Mac, 3.329%, 5/25/2025 | 12,496,000 | 13,949,457 | ||
Freddie Mac, 4%, 7/01/2025 - 4/01/2044 | 5,875,729 | 6,427,103 | ||
Freddie Mac, 3.01%, 7/25/2025 | 2,651,000 | 2,929,964 | ||
Freddie Mac, 3.5%, 11/15/2025 - 10/25/2058 | 84,066,754 | 90,600,507 | ||
Freddie Mac, 3.3%, 10/25/2026 | 7,808,000 | 8,911,833 | ||
Freddie Mac, 3.413%, 12/25/2026 | 744,000 | 856,037 | ||
Freddie Mac, 1.482%, 3/25/2027 (i) | 5,583,000 | 457,816 | ||
Freddie Mac, 3.117%, 6/25/2027 | 5,237,000 | 5,964,112 | ||
Freddie Mac, 0.427%, 7/25/2027 (i) | 106,256,431 | 3,850,170 | ||
Freddie Mac, 0.564%, 8/25/2027 (i) | 84,221,929 | 2,316,246 | ||
Freddie Mac, 3.187%, 9/25/2027 | 12,800,000 | 14,685,097 | ||
Freddie Mac, 0.434%, 1/25/2028 (i) | 62,435,178 | 1,372,001 | ||
Freddie Mac, 1.902%, 1/25/2028 (i) | 151,687,809 | 3,242,024 | ||
Freddie Mac, 0.269%, 2/25/2028 (i) | 177,456,638 | 2,004,071 | ||
Freddie Mac, 3.65%, 2/25/2028 | 880,000 | 1,040,979 | ||
Freddie Mac, 2.5%, 3/15/2028 - 8/01/2040 | 1,652,759 | 1,747,801 | ||
Freddie Mac, 0.262%, 4/25/2028 (i) | 113,912,714 | 1,201,665 | ||
Freddie Mac, 3%, 6/15/2028 - 2/25/2059 | 80,596,533 | 87,156,826 | ||
Freddie Mac, 3.854%, 6/25/2028 | 5,050,000 | 6,056,822 | ||
Freddie Mac, 3.926%, 7/25/2028 | 4,501,000 | 5,431,863 | ||
Freddie Mac, 3.92%, 9/25/2028 | 750,000 | 908,829 | ||
Freddie Mac, 3.78%, 10/25/2028 | 3,984,625 | 4,779,786 | ||
Freddie Mac, 4.06%, 10/25/2028 | 1,931,000 | 2,354,287 | ||
Freddie Mac, 1.218%, 7/25/2029 (i) | 19,397,231 | 1,644,076 | ||
Freddie Mac, 1.269%, 8/25/2029 (i) | 33,988,049 | 3,014,009 | ||
Freddie Mac, 0.756%, 11/25/2029 (i) | 47,887,389 | 2,507,053 | ||
Freddie Mac, 1.916%, 4/25/2030 (i) | 8,759,774 | 1,356,232 | ||
Freddie Mac, 1.985%, 4/25/2030 (i) | 20,077,463 | 3,219,891 | ||
Freddie Mac, 1.766%, 5/25/2030 (i) | 12,033,779 | 1,744,041 | ||
Freddie Mac, 1.906%, 5/25/2030 (i) | 26,880,424 | 4,171,084 | ||
Freddie Mac, 1.436%, 6/25/2030 (i) | 11,124,134 | 1,312,983 | ||
Freddie Mac, 3.424%, 4/25/2032 | 10,050,000 | 11,885,916 | ||
Freddie Mac, 3.7%, 1/25/2033 | 1,725,000 | 2,070,034 | ||
Freddie Mac, 5.5%, 2/15/2036 (i) | 669,326 | 131,023 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Mortgage-Backed – continued | ||||
Freddie Mac, 2%, 8/15/2036 | $ | 7,997,870 | $ 8,121,447 | |
Freddie Mac, 6.5%, 5/01/2037 | 222,428 | 254,888 | ||
Freddie Mac, 4.5%, 12/15/2040 (i) | 286,940 | 27,461 | ||
Freddie Mac, 1.75%, 8/15/2041 | 2,456,888 | 2,516,745 | ||
Ginnie Mae, 2.5%, 7/20/2032 - 6/20/2042 | 2,551,000 | 2,722,158 | ||
Ginnie Mae, 5.5%, 3/15/2033 - 1/20/2042 | 2,877,049 | 3,338,918 | ||
Ginnie Mae, 4.5%, 7/20/2033 - 7/20/2049 | 9,514,270 | 10,627,672 | ||
Ginnie Mae, 5.708%, 8/20/2034 | 2,198,102 | 2,538,739 | ||
Ginnie Mae, 5.879%, 1/20/2039 | 2,954,388 | 3,451,799 | ||
Ginnie Mae, 4%, 5/16/2039 - 4/20/2050 | 16,259,209 | 17,444,228 | ||
Ginnie Mae, 3.5%, 10/20/2041 (i) | 1,146,592 | 96,190 | ||
Ginnie Mae, 3.5%, 12/15/2041 - 5/20/2050 | 24,912,947 | 26,827,960 | ||
Ginnie Mae, 4%, 8/16/2042 (i) | 1,238,608 | 175,732 | ||
Ginnie Mae, 3%, 2/20/2043 - 8/20/2050 | 65,218,661 | 68,850,039 | ||
Ginnie Mae, 2.25%, 9/20/2043 | 3,913,968 | 3,984,861 | ||
Ginnie Mae, 5.87%, 4/20/2058 | 39,388 | 45,892 | ||
Ginnie Mae, 1.262%, 2/16/2059 (i) | 7,030,346 | 352,838 | ||
Ginnie Mae, TBA, 3%, 9/01/2050 | 7,275,000 | 7,660,348 | ||
Ginnie Mae, TBA, 3.5%, 9/01/2050 | 52,067,230 | 54,794,658 | ||
Ginnie Mae, TBA, 4%, 9/01/2050 | 27,925,000 | 29,741,216 | ||
Ginnie Mae, TBA, 2%, 10/01/2050 | 2,825,000 | 2,920,564 | ||
Ginnie Mae, TBA, 2.5%, 10/01/2050 - 7/15/2053 | 10,800,000 | 11,362,374 | ||
$ 1,388,308,497 | ||||
Municipals – 2.6% | ||||
California Department of Water Resources Rev. (Central Valley Project Water System), “BC”, 1.409%, 12/01/2029 | $ | 3,120,000 | $ 3,139,157 | |
Chicago, IL, Transit Authority Sales Tax Receipts Refunding Rev., Taxable, “B”, 1.838%, 12/01/2023 (w) | 492,000 | 498,465 | ||
Chicago, IL, Transit Authority Sales Tax Receipts Refunding Rev., Taxable, “B”, 2.064%, 12/01/2024 (w) | 985,000 | 1,001,962 | ||
Chicago, IL, Transit Authority Sales Tax Receipts Refunding Rev., Taxable, “B”, 2.214%, 12/01/2025 (w) | 738,000 | 753,764 | ||
Chicago, IL, Transit Authority Sales Tax Receipts Refunding Rev., Taxable, “B”, 2.481%, 12/01/2026 (w) | 1,723,000 | 1,765,403 | ||
Illinois Sales Tax Securitization Corp., Second Lien, “B”, BAM, 3.411%, 1/01/2043 | 3,990,000 | 4,137,829 | ||
Michigan Finance Authority Hospital Rev. (Trinity Health Credit Group), 3.384%, 12/01/2040 | 3,760,000 | 4,262,449 | ||
New Jersey Economic Development Authority State Pension Funding Rev., Capital Appreciation, “B”, AGM, 0%, 2/15/2023 | 14,792,000 | 14,417,466 | ||
Philadelphia, PA, School District, “A”, AGM, 5.995%, 9/01/2030 | 3,280,000 | 4,335,438 | ||
Port Authority of NY & NJ, “AAA”, 1.086%, 7/01/2023 | 4,045,000 | 4,099,203 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
Municipals – continued | ||||
State of California (Build America Bonds), 7.6%, 11/01/2040 | $ | 4,220,000 | $ 7,709,222 | |
Texas Transportation Commission, Central Texas Turnpike System First Tier Refunding Rev., Taxable, “B”, 1.98%, 8/15/2042 | 3,260,000 | 3,274,051 | ||
University of California, General Taxable Rev., “BG”, 1.614%, 5/15/2030 | 8,105,000 | 8,247,162 | ||
University of Missouri Curators Facilities Rev, “A”, 2.012%, 11/01/2027 | 5,900,000 | 6,248,985 | ||
$63,890,556 | ||||
Other Banks & Diversified Financials – 0.2% | ||||
ING Groep N.V., 3.15%, 3/29/2022 | $ | 5,120,000 | $ 5,326,294 | |
Supranational – 0.2% | ||||
Inter-American Development Bank, 4.375%, 1/24/2044 | $ | 2,796,000 | $ 4,284,842 | |
Tobacco – 0.2% | ||||
B.A.T. Capital Corp., 2.764%, 8/15/2022 | $ | 4,264,000 | $ 4,431,467 | |
U.S. Government Agencies and Equivalents – 1.2% | ||||
AID Tunisia, 2.452%, 7/24/2021 | $ | 4,063,000 | $ 4,065,363 | |
Hashemite Kingdom of Jordan, 2.503%, 10/30/2020 | 6,688,000 | 6,713,053 | ||
Private Export Funding Corp., 2.3%, 9/15/2020 | 4,100,000 | 4,103,427 | ||
Small Business Administration, 6.35%, 4/01/2021 | 13,897 | 14,021 | ||
Small Business Administration, 6.34%, 5/01/2021 | 27,634 | 27,981 | ||
Small Business Administration, 6.44%, 6/01/2021 | 20,333 | 20,679 | ||
Small Business Administration, 6.625%, 7/01/2021 | 23,012 | 23,389 | ||
Small Business Administration, 6.07%, 3/01/2022 | 43,063 | 43,809 | ||
Small Business Administration, 4.98%, 11/01/2023 | 76,946 | 80,752 | ||
Small Business Administration, 4.89%, 12/01/2023 | 223,978 | 234,964 | ||
Small Business Administration, 4.77%, 4/01/2024 | 220,585 | 230,391 | ||
Small Business Administration, 5.52%, 6/01/2024 | 115,619 | 122,551 | ||
Small Business Administration, 4.99%, 9/01/2024 | 223,074 | 233,654 | ||
Small Business Administration, 4.86%, 10/01/2024 | 114,185 | 119,789 | ||
Small Business Administration, 4.86%, 1/01/2025 | 261,253 | 276,058 | ||
Small Business Administration, 5.11%, 4/01/2025 | 176,048 | 185,979 | ||
Small Business Administration, 2.21%, 2/01/2033 | 1,439,757 | 1,496,622 | ||
Small Business Administration, 2.22%, 3/01/2033 | 2,588,995 | 2,690,596 | ||
Small Business Administration, 3.15%, 7/01/2033 | 2,155,826 | 2,314,420 | ||
Small Business Administration, 3.16%, 8/01/2033 | 802,599 | 862,421 | ||
Small Business Administration, 3.62%, 9/01/2033 | 902,258 | 995,878 | ||
Tennessee Valley Authority, 0.75%, 5/15/2025 | 3,827,000 | 3,887,143 | ||
$28,742,940 |
Issuer | Shares/Par | Value ($) | ||
Bonds – continued | ||||
U.S. Treasury Obligations – 28.5% | ||||
U.S. Treasury Bonds, 6.25%, 8/15/2023 | $ | 1,445,000 | $ 1,705,495 | |
U.S. Treasury Bonds, 6%, 2/15/2026 | 5,933,000 | 7,755,312 | ||
U.S. Treasury Bonds, 6.75%, 8/15/2026 | 981,000 | 1,350,944 | ||
U.S. Treasury Bonds, 6.375%, 8/15/2027 | 2,309,000 | 3,245,859 | ||
U.S. Treasury Bonds, 4.375%, 2/15/2038 | 2,078,000 | 3,194,519 | ||
U.S. Treasury Bonds, 4.5%, 8/15/2039 | 11,926,300 | 18,816,533 | ||
U.S. Treasury Bonds, 3.125%, 2/15/2043 | 9,748,800 | 13,172,685 | ||
U.S. Treasury Bonds, 2.875%, 5/15/2043 | 27,528,200 | 35,842,577 | ||
U.S. Treasury Bonds, 2.5%, 2/15/2045 | 97,983,000 | 120,281,787 | ||
U.S. Treasury Bonds, 2.875%, 11/15/2046 | 26,245,000 | 34,637,249 | ||
U.S. Treasury Bonds, TIPS, 0.375%, 1/15/2027 | 32,310,085 | 35,931,718 | ||
U.S. Treasury Notes, 3.125%, 5/15/2021 | 93,251,000 | 95,174,302 | ||
U.S. Treasury Notes, 2.5%, 8/15/2023 (f) | 136,673,000 | 146,122,656 | ||
U.S. Treasury Notes, 2.875%, 7/31/2025 | 30,757,000 | 34,676,115 | ||
U.S. Treasury Notes, 2.625%, 12/31/2025 | 20,900,000 | 23,459,434 | ||
U.S. Treasury Notes, 2%, 11/15/2026 | 51,959,000 | 57,033,121 | ||
U.S. Treasury Notes, 2.75%, 2/15/2028 | 10,157,000 | 11,817,828 | ||
U.S. Treasury Notes, 2.375%, 5/15/2029 | 19,515,500 | 22,434,439 | ||
U.S. Treasury Notes, 1.625%, 8/15/2029 | 29,405,000 | 31,965,302 | ||
U.S. Treasury Notes, 1.75%, 11/15/2029 | 8,564,000 | 9,417,055 | ||
$708,034,930 | ||||
Utilities - Electric Power – 0.2% | ||||
Enel Finance International N.V., 2.875%, 5/25/2022 (n) | $ | 5,254,000 | $ 5,435,603 | |
Total Bonds (Identified Cost, $2,210,012,773) | $ 2,365,814,704 | |||
Investment Companies (h) – 19.7% | ||||
Money Market Funds – 19.7% | ||||
MFS Institutional Money Market Portfolio, 0.1% (v) (Identified Cost, $490,539,433) | 490,517,363 | $ 490,517,362 | ||
Other Assets, Less Liabilities – (14.9)% | (369,786,034) | |||
Net Assets – 100.0% | $ 2,486,546,032 |
(f) | All or a portion of the security has been segregated as collateral for open futures contracts. | |||
(h) | An affiliated issuer, which may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. At period end, the aggregate values of the fund's investments in affiliated issuers and in unaffiliated issuers were $490,517,362 and $2,365,814,704, respectively. | |||
(i) | Interest only security for which the fund receives interest on notional principal (Par amount). Par amount shown is the notional principal and does not reflect the cost of the security. |
(n) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. At period end, the aggregate value of these securities was $59,718,573, representing 2.4% of net assets. | |||
(v) | Affiliated issuer that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end. | |||
(w) | When-issued security. |
The following abbreviations are used in this report and are defined: | |
AGM | Assured Guaranty Municipal |
AID | U.S. Agency for International Development |
BAM | Build America Mutual |
CLO | Collateralized Loan Obligation |
FLR | Floating Rate. Interest rate resets periodically based on the parenthetically disclosed reference rate plus a spread (if any). The period-end rate reported may not be the current rate. All reference rates are USD unless otherwise noted. |
LIBOR | London Interbank Offered Rate |
REIT | Real Estate Investment Trust |
TBA | To Be Announced |
TIPS | Treasury Inflation Protected Security |
Futures Contracts | ||||||
Description | Long/
Short |
Currency | Contracts | Notional
Amount |
Expiration
Date |
Value/Unrealized
Appreciation (Depreciation) |
Asset Derivatives | ||||||
Interest Rate Futures | ||||||
U.S. Treasury Bond | Short | USD | 217 | $38,130,969 | December – 2020 | $172,247 |
U.S. Treasury Note 10 yr | Short | USD | 33 | 4,595,250 | December – 2020 | 5,196 |
U.S. Treasury Note 2 yr | Long | USD | 582 | 128,590,172 | December – 2020 | 25,215 |
U.S. Treasury Note 5 yr | Long | USD | 180 | 22,685,625 | December – 2020 | 15,652 |
$218,310 | ||||||
Liability Derivatives | ||||||
Interest Rate Futures | ||||||
U.S. Treasury Ultra Bond | Long | USD | 272 | $60,086,500 | December – 2020 | $(405,118) |
Assets | |
Investments in unaffiliated issuers, at value (identified cost, $2,210,012,773) | $2,365,814,704 |
Investments in affiliated issuers, at value (identified cost, $490,539,433) | 490,517,362 |
Receivables for | |
Net daily variation margin on open futures contracts | 503,947 |
TBA sale commitments | 12,247,214 |
Fund shares sold | 4,681,033 |
Interest | 7,358,068 |
Other assets | 55,664 |
Total assets | $2,881,177,992 |
Liabilities | |
Payable to custodian | $212,460 |
Payables for | |
Distributions | 369,175 |
Investments purchased | 2,322,104 |
TBA purchase commitments | 385,498,784 |
Fund shares reacquired | 1,456,359 |
When-issued investments purchased | 3,938,000 |
Payable to affiliates | |
Investment adviser | 83,402 |
Administrative services fee | 3,630 |
Shareholder servicing costs | 592,456 |
Distribution and service fees | 27,939 |
Payable for independent Trustees' compensation | 6,768 |
Accrued expenses and other liabilities | 120,883 |
Total liabilities | $394,631,960 |
Net assets | $2,486,546,032 |
Net assets consist of | |
Paid-in capital | $2,412,396,286 |
Total distributable earnings (loss) | 74,149,746 |
Net assets | $2,486,546,032 |
Shares of beneficial interest outstanding | 237,960,479 |
Net assets | Shares
outstanding |
Net
asset value per share (a) | |
Class A | $797,528,064 | 76,266,697 | $10.46 |
Class B | 6,334,487 | 606,570 | 10.44 |
Class C | 22,690,435 | 2,166,751 | 10.47 |
Class I | 180,227,595 | 17,260,541 | 10.44 |
Class R1 | 2,712,603 | 259,738 | 10.44 |
Class R2 | 75,902,157 | 7,267,165 | 10.44 |
Class R3 | 52,984,253 | 5,069,296 | 10.45 |
Class R4 | 75,361,121 | 7,207,883 | 10.46 |
Class R6 | 1,272,805,317 | 121,855,838 | 10.45 |
(a) | Maximum offering price per share was equal to the net asset value per share for all share classes, except for Class A, for which the maximum offering price per share was $10.92 [100 / 95.75 x $10.46]. On sales of $100,000 or more, the maximum offering price of Class A shares is reduced. A contingent deferred sales charge may be imposed on redemptions of Class A, Class B, and Class C shares. Redemption price per share was equal to the net asset value per share for Classes I, R1, R2, R3, R4, and R6. |
Net investment income (loss) | |
Income | |
Interest | $27,036,286 |
Dividends from affiliated issuers | 705,826 |
Other | 40,917 |
Total investment income | $27,783,029 |
Expenses | |
Management fee | $4,619,759 |
Distribution and service fees | 1,385,095 |
Shareholder servicing costs | 1,075,742 |
Administrative services fee | 164,817 |
Independent Trustees' compensation | 19,811 |
Custodian fee | 66,613 |
Shareholder communications | 68,145 |
Audit and tax fees | 32,741 |
Legal fees | 8,813 |
Miscellaneous | 177,937 |
Total expenses | $7,619,473 |
Fees paid indirectly | (1,124) |
Reduction of expenses by investment adviser and distributor | (166,582) |
Net expenses | $7,451,767 |
Net investment income (loss) | $20,331,262 |
Realized and unrealized gain (loss) | |
Realized gain (loss) (identified cost basis) | |
Unaffiliated issuers | $11,193,502 |
Affiliated issuers | 4,020 |
Futures contracts | 1,928,904 |
Foreign currency | (736) |
Net realized gain (loss) | $13,125,690 |
Change in unrealized appreciation or depreciation | |
Unaffiliated issuers | $29,263,347 |
Affiliated issuers | (51,633) |
Futures contracts | (1,264,266) |
Net unrealized gain (loss) | $27,947,448 |
Net realized and unrealized gain (loss) | $41,073,138 |
Change in net assets from operations | $61,404,400 |
Six months ended | Year ended | |
8/31/20
(unaudited) |
2/29/20 | |
Change in net assets | ||
From operations | ||
Net investment income (loss) | $20,331,262 | $44,459,517 |
Net realized gain (loss) | 13,125,690 | 11,314,509 |
Net unrealized gain (loss) | 27,947,448 | 136,009,849 |
Change in net assets from operations | $61,404,400 | $191,783,875 |
Total distributions to shareholders | $(24,656,204) | $(47,400,326) |
Change in net assets from fund share transactions | $196,041,307 | $200,218,334 |
Total change in net assets | $232,789,503 | $344,601,883 |
Net assets | ||
At beginning of period | 2,253,756,529 | 1,909,154,646 |
At end of period | $2,486,546,032 | $2,253,756,529 |
Class A |
Six months ended |
Year ended | ||||
8/31/20
(unaudited) |
2/29/20 | 2/28/19
|
2/28/18 | 2/28/17 | 2/29/16 | |
Net asset value, beginning of period | $10.28 | $9.59 | $9.55 | $9.84 | $10.17 | $10.20 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.08 | $0.20 | $0.20 | $0.20 | $0.19(c) | $0.18 |
Net realized and unrealized gain (loss) | 0.20 | 0.70 | 0.06 | (0.26) | (0.29) | (0.01) |
Total from investment operations | $0.28 | $0.90 | $0.26 | $(0.06) | $(0.10) | $0.17 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.10) | $(0.21) | $(0.22) | $(0.23) | $(0.23) | $(0.20) |
Net asset value, end of period (x) | $10.46 | $10.28 | $9.59 | $9.55 | $9.84 | $10.17 |
Total return (%) (r)(s)(t)(x) | 2.75(n) | 9.48 | 2.75 | (0.61) | (0.97)(c) | 1.69 |
Ratios
(%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 0.83(a) | 0.85 | 0.86 | 0.87 | 0.88(c) | 0.88 |
Expenses after expense reductions (f) | 0.81(a) | 0.84 | 0.84 | 0.85 | 0.86(c) | 0.87 |
Net investment income (loss) | 1.57(a) | 1.98 | 2.12 | 2.06 | 1.93(c) | 1.74 |
Portfolio turnover | 130(n) | 113 | 56 | 20 | 48 | 88 |
Net assets at end of period (000 omitted) | $797,528 | $702,063 | $596,678 | $625,457 | $685,256 | $719,585 |
Class B |
Six months ended |
Year ended | ||||
8/31/20
(unaudited) |
2/29/20 | 2/28/19
|
2/28/18 | 2/28/17 | 2/29/16 | |
Net asset value, beginning of period | $10.27 | $9.58 | $9.54 | $9.82 | $10.16 | $10.19 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.04 | $0.12 | $0.13 | $0.13 | $0.12(c) | $0.10 |
Net realized and unrealized gain (loss) | 0.19 | 0.71 | 0.06 | (0.25) | (0.30) | (0.01) |
Total from investment operations | $0.23 | $0.83 | $0.19 | $(0.12) | $(0.18) | $0.09 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.06) | $(0.14) | $(0.15) | $(0.16) | $(0.16) | $(0.12) |
Net asset value, end of period (x) | $10.44 | $10.27 | $9.58 | $9.54 | $9.82 | $10.16 |
Total return (%) (r)(s)(t)(x) | 2.27(n) | 8.68 | 1.99 | (1.26) | (1.82)(c) | 0.93 |
Ratios
(%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.58(a) | 1.60 | 1.61 | 1.62 | 1.63(c) | 1.63 |
Expenses after expense reductions (f) | 1.56(a) | 1.59 | 1.60 | 1.61 | 1.62(c) | 1.62 |
Net investment income (loss) | 0.84(a) | 1.23 | 1.37 | 1.31 | 1.18(c) | 0.99 |
Portfolio turnover | 130(n) | 113 | 56 | 20 | 48 | 88 |
Net assets at end of period (000 omitted) | $6,334 | $7,711 | $8,811 | $12,968 | $18,013 | $22,289 |
Class C |
Six months ended |
Year ended | ||||
8/31/20
(unaudited) |
2/29/20 | 2/28/19
|
2/28/18 | 2/28/17 | 2/29/16 | |
Net asset value, beginning of period | $10.29 | $9.60 | $9.57 | $9.85 | $10.19 | $10.22 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.04 | $0.12 | $0.13 | $0.13 | $0.12(c) | $0.10 |
Net realized and unrealized gain (loss) | 0.20 | 0.71 | 0.05 | (0.25) | (0.30) | (0.01) |
Total from investment operations | $0.24 | $0.83 | $0.18 | $(0.12) | $(0.18) | $0.09 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.06) | $(0.14) | $(0.15) | $(0.16) | $(0.16) | $(0.12) |
Net asset value, end of period (x) | $10.47 | $10.29 | $9.60 | $9.57 | $9.85 | $10.19 |
Total return (%) (r)(s)(t)(x) | 2.37(n) | 8.66 | 1.88 | (1.25) | (1.81)(c) | 0.93 |
Ratios
(%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.58(a) | 1.60 | 1.61 | 1.62 | 1.63(c) | 1.63 |
Expenses after expense reductions (f) | 1.56(a) | 1.59 | 1.60 | 1.61 | 1.62(c) | 1.62 |
Net investment income (loss) | 0.83(a) | 1.23 | 1.37 | 1.30 | 1.17(c) | 0.98 |
Portfolio turnover | 130(n) | 113 | 56 | 20 | 48 | 88 |
Net assets at end of period (000 omitted) | $22,690 | $20,084 | $19,919 | $29,766 | $41,824 | $49,104 |
Class I |
Six months ended |
Year ended | ||||
8/31/20
(unaudited) |
2/29/20 | 2/28/19
|
2/28/18 | 2/28/17 | 2/29/16 | |
Net asset value, beginning of period | $10.27 | $9.58 | $9.55 | $9.83 | $10.16 | $10.20 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.09 | $0.22 | $0.22 | $0.22 | $0.22(c) | $0.20 |
Net realized and unrealized gain (loss) | 0.19 | 0.70 | 0.05 | (0.24) | (0.29) | (0.02) |
Total from investment operations | $0.28 | $0.92 | $0.27 | $(0.02) | $(0.07) | $0.18 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.11) | $(0.23) | $(0.24) | $(0.26) | $(0.26) | $(0.22) |
Net asset value, end of period (x) | $10.44 | $10.27 | $9.58 | $9.55 | $9.83 | $10.16 |
Total return (%) (r)(s)(t)(x) | 2.78(n) | 9.76 | 2.90 | (0.26) | (0.73)(c) | 1.85 |
Ratios
(%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 0.57(a) | 0.60 | 0.61 | 0.62 | 0.63(c) | 0.63 |
Expenses after expense reductions (f) | 0.56(a) | 0.59 | 0.60 | 0.61 | 0.62(c) | 0.62 |
Net investment income (loss) | 1.80(a) | 2.20 | 2.36 | 2.29 | 2.17(c) | 1.98 |
Portfolio turnover | 130(n) | 113 | 56 | 20 | 48 | 88 |
Net assets at end of period (000 omitted) | $180,228 | $96,407 | $43,627 | $39,572 | $43,439 | $42,563 |
Class R1 |
Six months ended |
Year ended | ||||
8/31/20
(unaudited) |
2/29/20 | 2/28/19
|
2/28/18 | 2/28/17 | 2/29/16 | |
Net asset value, beginning of period | $10.27 | $9.58 | $9.54 | $9.83 | $10.16 | $10.19 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.04 | $0.12 | $0.13 | $0.13 | $0.12(c) | $0.10 |
Net realized and unrealized gain (loss) | 0.19 | 0.71 | 0.06 | (0.26) | (0.29) | (0.01) |
Total from investment operations | $0.23 | $0.83 | $0.19 | $(0.13) | $(0.17) | $0.09 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.06) | $(0.14) | $(0.15) | $(0.16) | $(0.16) | $(0.12) |
Net asset value, end of period (x) | $10.44 | $10.27 | $9.58 | $9.54 | $9.83 | $10.16 |
Total return (%) (r)(s)(t)(x) | 2.27(n) | 8.68 | 1.99 | (1.36) | (1.72)(c) | 0.93 |
Ratios
(%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.57(a) | 1.60 | 1.61 | 1.62 | 1.63(c) | 1.63 |
Expenses after expense reductions (f) | 1.56(a) | 1.59 | 1.60 | 1.61 | 1.62(c) | 1.62 |
Net investment income (loss) | 0.82(a) | 1.23 | 1.37 | 1.31 | 1.18(c) | 0.99 |
Portfolio turnover | 130(n) | 113 | 56 | 20 | 48 | 88 |
Net assets at end of period (000 omitted) | $2,713 | $2,158 | $2,125 | $2,237 | $3,265 | $4,671 |
Class R2 |
Six months ended |
Year ended | ||||
8/31/20
(unaudited) |
2/29/20 | 2/28/19
|
2/28/18 | 2/28/17 | 2/29/16 | |
Net asset value, beginning of period | $10.27 | $9.58 | $9.54 | $9.83 | $10.16 | $10.19 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.07 | $0.17 | $0.18 | $0.18 | $0.17(c) | $0.15 |
Net realized and unrealized gain (loss) | 0.19 | 0.71 | 0.06 | (0.26) | (0.29) | (0.01) |
Total from investment operations | $0.26 | $0.88 | $0.24 | $(0.08) | $(0.12) | $0.14 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.09) | $(0.19) | $(0.20) | $(0.21) | $(0.21) | $(0.17) |
Net asset value, end of period (x) | $10.44 | $10.27 | $9.58 | $9.54 | $9.83 | $10.16 |
Total return (%) (r)(s)(t)(x) | 2.52(n) | 9.22 | 2.50 | (0.86) | (1.22)(c) | 1.44 |
Ratios
(%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.08(a) | 1.10 | 1.11 | 1.12 | 1.13(c) | 1.13 |
Expenses after expense reductions (f) | 1.06(a) | 1.09 | 1.10 | 1.11 | 1.12(c) | 1.12 |
Net investment income (loss) | 1.33(a) | 1.73 | 1.87 | 1.80 | 1.68(c) | 1.49 |
Portfolio turnover | 130(n) | 113 | 56 | 20 | 48 | 88 |
Net assets at end of period (000 omitted) | $75,902 | $78,519 | $86,431 | $98,060 | $111,123 | $122,117 |
Class R3 |
Six months ended |
Year ended | ||||
8/31/20
(unaudited) |
2/29/20 | 2/28/19
|
2/28/18 | 2/28/17 | 2/29/16 | |
Net asset value, beginning of period | $10.27 | $9.58 | $9.55 | $9.83 | $10.17 | $10.20 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.08 | $0.20 | $0.20 | $0.20 | $0.19(c) | $0.18 |
Net realized and unrealized gain (loss) | 0.20 | 0.70 | 0.05 | (0.25) | (0.30) | (0.01) |
Total from investment operations | $0.28 | $0.90 | $0.25 | $(0.05) | $(0.11) | $0.17 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.10) | $(0.21) | $(0.22) | $(0.23) | $(0.23) | $(0.20) |
Net asset value, end of period (x) | $10.45 | $10.27 | $9.58 | $9.55 | $9.83 | $10.17 |
Total return (%) (r)(s)(t)(x) | 2.75(n) | 9.49 | 2.65 | (0.51) | (1.07)(c) | 1.69 |
Ratios
(%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 0.83(a) | 0.85 | 0.86 | 0.87 | 0.88(c) | 0.88 |
Expenses after expense reductions (f) | 0.81(a) | 0.84 | 0.85 | 0.86 | 0.87(c) | 0.87 |
Net investment income (loss) | 1.57(a) | 1.99 | 2.12 | 2.05 | 1.93(c) | 1.74 |
Portfolio turnover | 130(n) | 113 | 56 | 20 | 48 | 88 |
Net assets at end of period (000 omitted) | $52,984 | $52,773 | $66,977 | $79,274 | $88,434 | $109,531 |
Class R4 |
Six months ended |
Year ended | ||||
8/31/20
(unaudited) |
2/29/20 | 2/28/19
|
2/28/18 | 2/28/17 | 2/29/16 | |
Net asset value, beginning of period | $10.28 | $9.59 | $9.55 | $9.84 | $10.17 | $10.21 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.10 | $0.22 | $0.22 | $0.23 | $0.22(c) | $0.20 |
Net realized and unrealized gain (loss) | 0.19 | 0.71 | 0.06 | (0.26) | (0.29) | (0.02) |
Total from investment operations | $0.29 | $0.93 | $0.28 | $(0.03) | $(0.07) | $0.18 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.11) | $(0.24) | $(0.24) | $(0.26) | $(0.26) | $(0.22) |
Net asset value, end of period (x) | $10.46 | $10.28 | $9.59 | $9.55 | $9.84 | $10.17 |
Total return (%) (r)(s)(t)(x) | 2.87(n) | 9.75 | 3.01 | (0.36) | (0.72)(c) | 1.85 |
Ratios
(%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 0.58(a) | 0.60 | 0.61 | 0.62 | 0.63(c) | 0.63 |
Expenses after expense reductions (f) | 0.56(a) | 0.59 | 0.60 | 0.61 | 0.62(c) | 0.62 |
Net investment income (loss) | 1.82(a) | 2.22 | 2.36 | 2.30 | 2.18(c) | 1.99 |
Portfolio turnover | 130(n) | 113 | 56 | 20 | 48 | 88 |
Net assets at end of period (000 omitted) | $75,361 | $73,230 | $58,677 | $64,691 | $64,371 | $86,552 |
Class R6 |
Six months ended |
Year ended | ||||
8/31/20
(unaudited) |
2/29/20 | 2/28/19
|
2/28/18 | 2/28/17 | 2/29/16 | |
Net asset value, beginning of period | $10.27 | $9.58 | $9.54 | $9.83 | $10.16 | $10.20 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.10 | $0.23 | $0.24 | $0.24 | $0.23(c) | $0.21 |
Net realized and unrealized gain (loss) | 0.20 | 0.71 | 0.05 | (0.26) | (0.29) | (0.01) |
Total from investment operations | $0.30 | $0.94 | $0.29 | $(0.02) | $(0.06) | $0.20 |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.12) | $(0.25) | $(0.25) | $(0.27) | $(0.27) | $(0.24) |
Net asset value, end of period (x) | $10.45 | $10.27 | $9.58 | $9.54 | $9.83 | $10.16 |
Total return (%) (r)(s)(t)(x) | 2.92(n) | 9.87 | 3.13 | (0.25) | (0.61)(c) | 1.96 |
Ratios
(%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 0.49(a) | 0.50 | 0.50 | 0.50 | 0.51(c) | 0.52 |
Expenses after expense reductions (f) | 0.48(a) | 0.49 | 0.49 | 0.50 | 0.50(c) | 0.51 |
Net investment income (loss) | 1.90(a) | 2.33 | 2.48 | 2.42 | 2.30(c) | 2.10 |
Portfolio turnover | 130(n) | 113 | 56 | 20 | 48 | 88 |
Net assets at end of period (000 omitted) | $1,272,805 | $1,220,812 | $1,025,911 | $1,066,416 | $1,038,818 | $1,020,504 |
(a) | Annualized. |
(c) | Amount reflects a one-time reimbursement of expenses by the custodian (or former custodian) without which net investment income and performance would be lower and expenses would be higher. |
(d) | Per share data is based on average shares outstanding. |
(f) | Ratios do not reflect reductions from fees paid indirectly, if applicable. |
(n) | Not annualized. |
(r) | Certain expenses have been reduced without which performance would have been lower. |
(s) | From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower. |
(t) | Total returns do not include any applicable sales charges. |
(x) | The net asset values and total returns have been calculated on net assets which include adjustments made in accordance with U.S. generally accepted accounting principles required at period end for financial reporting purposes. |
Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | $— | $736,777,870 | $— | $736,777,870 |
Non - U.S. Sovereign Debt | — | 4,284,842 | — | 4,284,842 |
Municipal Bonds | — | 63,890,556 | — | 63,890,556 |
U.S. Corporate Bonds | — | 27,880,971 | — | 27,880,971 |
Residential Mortgage-Backed Securities | — | 1,388,308,497 | — | 1,388,308,497 |
Commercial Mortgage-Backed Securities | — | 90,592,729 | — | 90,592,729 |
Asset-Backed Securities (including CDOs) | — | 28,277,852 | — | 28,277,852 |
Foreign Bonds | — | 25,801,387 | — | 25,801,387 |
Mutual Funds | 490,517,362 | — | — | 490,517,362 |
Total | $490,517,362 | $2,365,814,704 | $— | $2,856,332,066 |
Other Financial Instruments | ||||
Futures Contracts – Assets | $218,310 | $— | $— | $218,310 |
Futures Contracts – Liabilities | (405,118) | — | — | (405,118) |
Fair Value (a) | |||
Risk | Derivative Contracts | Asset Derivatives | Liability Derivatives |
Interest Rate | Interest Rate Futures | $218,310 | $(405,118) |
(a) | Values presented in this table for futures contracts correspond to the values reported in the fund's Portfolio of Investments. Only the current day net variation margin for futures contracts is separately reported within the fund's Statement of Assets and Liabilities. |
Risk | Futures
Contracts |
Interest Rate | $1,928,904 |
Risk | Futures
Contracts |
Interest Rate | $(1,264,266) |
Year
ended 2/29/20 | |
Ordinary income (including any short-term capital gains) | $47,400,326 |
As of 8/31/20 | |
Cost of investments | $2,702,758,966 |
Gross appreciation | 154,642,745 |
Gross depreciation | (1,069,645) |
Net unrealized appreciation (depreciation) | $ 153,573,100 |
As of 2/29/20 | |
Undistributed ordinary income | 11,131,657 |
Capital loss carryforwards | (83,758,882) |
Other temporary differences | (4,265,840) |
Net unrealized appreciation (depreciation) | 114,294,615 |
Short-Term | $(9,210,199) |
Long-Term | (74,548,683) |
Total | $(83,758,882) |
Six
months ended 8/31/20 |
Year
ended 2/29/20 | |
Class A | $7,417,480 | $13,430,397 |
Class B | 43,450 | 115,690 |
Class C | 150,387 | 256,980 |
Class I | 1,912,759 | 1,758,609 |
Class R1 | 14,708 | 29,374 |
Class R2 | 650,952 | 1,552,169 |
Class R3 | 504,176 | 1,247,577 |
Class R4 | 808,908 | 1,559,306 |
Class R6 | 13,153,384 | 27,450,224 |
Total | $24,656,204 | $47,400,326 |
Up to $2.5 billion | 0.40% |
In excess of $2.5 billion | 0.35% |
Up to $1 billion | 0.40% |
In excess of $1 billion and up to $2.5 billion | 0.35% |
In excess of $2.5 billion and up to $5 billion | 0.30% |
In excess of $5 billion | 0.29% |
Classes | ||||||||
A | B | C | I | R1 | R2 | R3 | R4 | R6 |
0.80% | 1.55% | 1.55% | 0.55% | 1.55% | 1.05% | 0.80% | 0.55% | 0.44% |
Distribution
Fee Rate (d) |
Service
Fee Rate (d) |
Total
Distribution Plan (d) |
Annual
Effective Rate (e) |
Distribution
and Service Fee | |
Class A | — | 0.25% | 0.25% | 0.24% | $ 955,452 |
Class B | 0.75% | 0.25% | 1.00% | 1.00% | 35,943 |
Class C | 0.75% | 0.25% | 1.00% | 1.00% | 124,859 |
Class R1 | 0.75% | 0.25% | 1.00% | 1.00% | 12,326 |
Class R2 | 0.25% | 0.25% | 0.50% | 0.50% | 191,676 |
Class R3 | — | 0.25% | 0.25% | 0.25% | 64,839 |
Total Distribution and Service Fees | $1,385,095 |
(d) | In accordance with the distribution plan for certain classes, the fund pays distribution and/or service fees equal to these annual percentage rates of each class’s average daily net assets. The distribution and service fee rates disclosed by class represent the current rates in effect at the end of the reporting period. Any rate changes, if applicable, are detailed below. |
(e) | The annual effective rates represent actual fees incurred under the distribution plan for the six months ended August 31, 2020 based on each class's average daily net assets.MFD has voluntarily agreed to rebate a portion of each class's 0.25% service fee attributable to accounts for which there is no financial intermediary specified on the account except for accounts attributable to MFS or its affiliates' seed money. For the six months ended August 31, 2020, this rebate amounted to $22,490, $118, $81, and $59 for Class A, Class B, Class C, and Class R3, respectively, and is included in the reduction of total expenses in the Statement of Operations. |
Amount | |
Class A | $23,767 |
Class B | 11,238 |
Class C | 968 |
Purchases | Sales | |
U.S. Government securities | $3,052,206,425 | $2,867,686,015 |
Non-U.S. Government securities | 55,716,787 | 42,019,719 |
Six
months ended 8/31/20 |
Year
ended 2/29/20 | ||||
Shares | Amount | Shares | Amount | ||
Shares sold | |||||
Class A | 22,826,948 | $237,351,502 | 23,620,490 | $234,901,565 | |
Class B | 122,467 | 1,268,845 | 119,635 | 1,177,419 | |
Class C | 1,225,863 | 12,714,377 | 717,259 | 7,190,415 | |
Class I | 15,131,210 | 156,654,283 | 7,035,929 | 69,480,096 | |
Class R1 | 144,537 | 1,495,503 | 33,222 | 328,839 | |
Class R2 | 2,032,624 | 21,124,749 | 1,514,385 | 14,941,636 | |
Class R3 | 1,261,317 | 13,113,099 | 1,328,934 | 13,205,417 | |
Class R4 | 2,597,827 | 27,018,538 | 2,273,802 | 22,586,528 | |
Class R6 | 26,972,978 | 280,931,619 | 15,575,965 | 154,541,934 | |
72,315,771 | $751,672,515 | 52,219,621 | $518,353,849 | ||
Shares
issued to shareholders in reinvestment of distributions |
|||||
Class A | 564,061 | $5,897,946 | 1,012,662 | $10,101,806 | |
Class B | 4,077 | 42,551 | 11,350 | 112,944 | |
Class C | 13,566 | 142,012 | 23,790 | 237,493 | |
Class I | 163,984 | 1,712,176 | 156,519 | 1,562,237 | |
Class R1 | 1,408 | 14,701 | 2,924 | 29,103 | |
Class R2 | 60,677 | 633,469 | 149,438 | 1,487,459 | |
Class R3 | 48,253 | 504,163 | 125,298 | 1,246,856 | |
Class R4 | 37,918 | 396,377 | 68,000 | 678,314 | |
Class R6 | 1,232,397 | 12,869,500 | 2,720,662 | 27,108,987 | |
2,126,341 | $22,212,895 | 4,270,643 | $42,565,199 | ||
Shares reacquired | |||||
Class A | (15,425,582) | $(160,646,333) | (18,568,841) | $(184,163,819) | |
Class B | (271,152) | (2,816,500) | (299,947) | (2,967,755) | |
Class C | (1,023,654) | (10,671,664) | (864,481) | (8,561,490) | |
Class I | (7,425,665) | (77,269,867) | (2,356,596) | (23,412,280) | |
Class R1 | (96,392) | (997,316) | (47,870) | (474,591) | |
Class R2 | (2,474,402) | (25,549,866) | (3,041,490) | (30,056,403) | |
Class R3 | (1,376,836) | (14,228,478) | (3,307,121) | (32,785,029) | |
Class R4 | (2,553,506) | (26,403,631) | (1,337,484) | (13,301,320) | |
Class R6 | (25,247,728) | (259,260,448) | (6,518,640) | (64,978,027) | |
(55,894,917) | $(577,844,103) | (36,342,470) | $(360,700,714) |
Six
months ended 8/31/20 |
Year
ended 2/29/20 | ||||
Shares | Amount | Shares | Amount | ||
Net change | |||||
Class A | 7,965,427 | $82,603,115 | 6,064,311 | $60,839,552 | |
Class B | (144,608) | (1,505,104) | (168,962) | (1,677,392) | |
Class C | 215,775 | 2,184,725 | (123,432) | (1,133,582) | |
Class I | 7,869,529 | 81,096,592 | 4,835,852 | 47,630,053 | |
Class R1 | 49,553 | 512,888 | (11,724) | (116,649) | |
Class R2 | (381,101) | (3,791,648) | (1,377,667) | (13,627,308) | |
Class R3 | (67,266) | (611,216) | (1,852,889) | (18,332,756) | |
Class R4 | 82,239 | 1,011,284 | 1,004,318 | 9,963,522 | |
Class R6 | 2,957,647 | 34,540,671 | 11,777,987 | 116,672,894 | |
18,547,195 | $196,041,307 | 20,147,794 | $200,218,334 |
Affiliated Issuers | Beginning
Value |
Purchases | Sales
Proceeds |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation or Depreciation |
Ending
Value |
MFS Institutional Money Market Portfolio | $288,309,000 | $513,750,113 | $311,494,138 | $4,020 | $(51,633) | $490,517,362 |
Affiliated Issuers | Dividend
Income |
Capital
Gain Distributions |
MFS Institutional Money Market Portfolio | $705,826 | $— |
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back cover |
(g) | The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and S&P Global Market Intelligence Inc. (“S&P Global Market Intelligence”). GICS is a service mark of MSCI and S&P Global Market Intelligence and has been licensed for use by MFS. |
Share
Class |
Annualized
Expense Ratio |
Beginning
Account Value 3/01/20 |
Ending
Account Value 8/31/20 |
Expenses
Paid During Period (p) 3/01/20-8/31/20 | |
A | Actual | 1.23% | $1,000.00 | $980.41 | $6.14 |
Hypothetical (h) | 1.23% | $1,000.00 | $1,019.00 | $6.26 | |
B | Actual | 1.98% | $1,000.00 | $977.25 | $9.87 |
Hypothetical (h) | 1.98% | $1,000.00 | $1,015.22 | $10.06 | |
C | Actual | 1.98% | $1,000.00 | $977.14 | $9.87 |
Hypothetical (h) | 1.98% | $1,000.00 | $1,015.22 | $10.06 | |
I | Actual | 0.98% | $1,000.00 | $981.75 | $4.90 |
Hypothetical (h) | 0.98% | $1,000.00 | $1,020.27 | $4.99 | |
R1 | Actual | 1.98% | $1,000.00 | $976.53 | $9.86 |
Hypothetical (h) | 1.98% | $1,000.00 | $1,015.22 | $10.06 | |
R2 | Actual | 1.48% | $1,000.00 | $979.59 | $7.38 |
Hypothetical (h) | 1.48% | $1,000.00 | $1,017.74 | $7.53 | |
R3 | Actual | 1.23% | $1,000.00 | $980.49 | $6.14 |
Hypothetical (h) | 1.23% | $1,000.00 | $1,019.00 | $6.26 | |
R4 | Actual | 0.98% | $1,000.00 | $981.79 | $4.90 |
Hypothetical (h) | 0.98% | $1,000.00 | $1,020.27 | $4.99 | |
R6 | Actual | 0.87% | $1,000.00 | $981.95 | $4.35 |
Hypothetical (h) | 0.87% | $1,000.00 | $1,020.82 | $4.43 |
(h) | 5% class return per year before expenses. |
(p) | “Expenses Paid During Period” are equal to each class’s annualized expense ratio, as shown above, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses paid do not include any applicable sales charges (loads). If these transaction costs had been included, your costs would have been higher. |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – 98.9% | ||||
Aerospace – 2.0% | ||||
CACI International, Inc., “A” (a) | 65,863 | $ 15,424,456 | ||
PAE, Inc. (a) | 4,598,289 | 40,625,883 | ||
$56,050,339 | ||||
Apparel Manufacturers – 1.8% | ||||
PVH Corp. | 504,740 | $ 28,144,302 | ||
Skechers USA, Inc., “A” (a) | 726,009 | 21,671,369 | ||
$49,815,671 | ||||
Automotive – 3.2% | ||||
LKQ Corp. (a) | 1,301,541 | $ 41,310,911 | ||
Methode Electronics, Inc. | 739,064 | 20,922,902 | ||
Stoneridge, Inc. (a) | 543,441 | 10,977,508 | ||
Visteon Corp. (a) | 240,129 | 18,112,931 | ||
$91,324,252 | ||||
Business Services – 1.3% | ||||
BrightView Holdings, Inc. (a) | 1,127,201 | $ 13,842,028 | ||
Stamps.com, Inc. (a) | 42,559 | 10,611,661 | ||
WNS (Holdings) Ltd., ADR (a) | 193,657 | 12,849,142 | ||
$37,302,831 | ||||
Chemicals – 1.4% | ||||
Element Solutions, Inc. (a) | 3,829,978 | $ 41,172,263 | ||
Computer Software – 1.3% | ||||
8x8, Inc. (a) | 1,558,239 | $ 26,303,074 | ||
ACI Worldwide, Inc. (a) | 357,470 | 10,502,469 | ||
$36,805,543 | ||||
Computer Software - Systems – 3.3% | ||||
KBR, Inc. | 2,385,598 | $ 59,616,094 | ||
Verint Systems, Inc. (a) | 737,007 | 35,052,053 | ||
$94,668,147 | ||||
Construction – 1.9% | ||||
GMS, Inc. (a) | 763,023 | $ 20,212,479 | ||
Toll Brothers, Inc. | 807,079 | 34,074,876 | ||
$54,287,355 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Consumer Products – 2.1% | ||||
Energizer Holdings, Inc. | 389,318 | $ 18,021,530 | ||
Newell Brands, Inc. | 1,224,262 | 19,563,707 | ||
Prestige Brands Holdings, Inc. (a) | 625,447 | 22,785,034 | ||
$60,370,271 | ||||
Consumer Services – 1.6% | ||||
Grand Canyon Education, Inc. (a) | 341,550 | $ 32,119,362 | ||
Regis Corp. (a) | 1,628,017 | 12,031,046 | ||
$44,150,408 | ||||
Containers – 5.4% | ||||
Berry Global Group, Inc. (a) | 844,155 | $ 43,507,749 | ||
Graphic Packaging Holding Co. | 3,943,780 | 55,134,044 | ||
Owens Corning | 448,405 | 30,330,114 | ||
Silgan Holdings, Inc. | 657,528 | 25,025,516 | ||
$153,997,423 | ||||
Electrical Equipment – 3.5% | ||||
HD Supply Holdings, Inc. (a) | 626,023 | $ 24,828,072 | ||
Littlefuse, Inc. | 91,361 | 16,521,723 | ||
TriMas Corp. (a) | 1,177,012 | 29,754,864 | ||
WESCO International, Inc. (a) | 612,952 | 28,716,801 | ||
$99,821,460 | ||||
Electronics – 2.0% | ||||
nLIGHT, Inc. (a) | 661,506 | $ 15,452,780 | ||
Plexus Corp. (a) | 552,089 | 41,997,410 | ||
$57,450,190 | ||||
Energy - Independent – 2.4% | ||||
Magnolia Oil & Gas Corp., “A” (a) | 3,375,496 | $ 21,738,194 | ||
Parsley Energy, Inc., “A” | 2,299,159 | 24,715,960 | ||
WPX Energy, Inc. (a) | 3,773,409 | 20,980,154 | ||
$67,434,308 | ||||
Engineering - Construction – 2.5% | ||||
Construction Partners, Inc., “A” (a) | 949,360 | $ 17,743,538 | ||
Quanta Services, Inc. | 1,013,736 | 51,953,970 | ||
$69,697,508 | ||||
Entertainment – 1.6% | ||||
IMAX Corp. (a) | 1,848,595 | $ 28,412,905 | ||
Six Flags Entertainment Corp. | 839,605 | 18,244,617 | ||
$46,657,522 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Food & Beverages – 2.9% | ||||
Hostess Brands, Inc. (a) | 2,217,170 | $ 28,468,463 | ||
Nomad Foods Ltd. (a) | 1,370,423 | 33,794,631 | ||
Sanderson Farms, Inc. | 180,059 | 21,059,701 | ||
$83,322,795 | ||||
Gaming & Lodging – 0.8% | ||||
Wyndham Hotels & Resorts, Inc. | 433,133 | $ 22,678,844 | ||
Insurance – 3.2% | ||||
CNO Financial Group, Inc. | 1,759,028 | $ 28,672,156 | ||
Everest Re Group Ltd. | 76,376 | 16,808,830 | ||
Hanover Insurance Group, Inc. | 208,877 | 21,407,804 | ||
Third Point Reinsurance Ltd. (a) | 2,919,101 | 24,987,505 | ||
$91,876,295 | ||||
Leisure & Toys – 0.9% | ||||
Brunswick Corp. | 293,240 | $ 18,148,623 | ||
Funko, Inc., “A” (a)(l) | 1,094,915 | 6,394,304 | ||
$24,542,927 | ||||
Machinery & Tools – 4.1% | ||||
AGCO Corp. | 319,308 | $ 22,702,799 | ||
Enerpac Tool Group Corp. | 836,933 | 17,408,206 | ||
ITT, Inc. | 208,748 | 13,111,462 | ||
Kennametal, Inc. | 972,917 | 28,234,051 | ||
Regal Beloit Corp. | 355,252 | 35,120,213 | ||
$116,576,731 | ||||
Major Banks – 1.3% | ||||
TCF Financial Corp. | 1,344,624 | $ 36,143,493 | ||
Medical & Health Technology & Services – 2.5% | ||||
HMS Holdings Corp. (a) | 621,249 | $ 17,326,635 | ||
PRA Health Sciences, Inc. (a) | 182,788 | 19,541,865 | ||
Premier, Inc., “A” | 1,004,146 | 32,885,781 | ||
$69,754,281 | ||||
Medical Equipment – 0.5% | ||||
Envista Holdings Corp. (a) | 562,589 | $ 13,496,510 | ||
Natural Gas - Distribution – 2.4% | ||||
New Jersey Resources Corp. | 1,136,545 | $ 34,255,466 | ||
South Jersey Industries, Inc. | 1,559,079 | 34,533,600 | ||
$68,789,066 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Natural Gas - Pipeline – 1.0% | ||||
Plains GP Holdings LP | 3,869,685 | $ 28,287,397 | ||
Oil Services – 1.1% | ||||
ChampionX Corp. (a) | 1,082,386 | $ 11,083,633 | ||
Frank's International N.V. (a) | 6,231,499 | 14,394,763 | ||
NOW, Inc. (a) | 633,646 | 4,606,606 | ||
$30,085,002 | ||||
Other Banks & Diversified Financials – 18.7% | ||||
Air Lease Corp. | 509,115 | $ 15,823,294 | ||
APi Group, Inc. (a) | 1,052,539 | 14,882,901 | ||
Bank of Hawaii Corp. | 461,511 | 25,401,565 | ||
Brookline Bancorp, Inc. | 2,403,309 | 23,071,766 | ||
Cathay General Bancorp, Inc. | 1,378,308 | 34,030,425 | ||
Cullen/Frost Bankers, Inc. | 387,570 | 26,920,612 | ||
East West Bancorp, Inc. | 855,718 | 31,473,308 | ||
Element Fleet Management Corp. | 3,591,699 | 29,546,464 | ||
Encore Capital Group, Inc. (a) | 880,921 | 40,469,511 | ||
First Hawaiian, Inc. | 1,790,073 | 29,589,907 | ||
Hanmi Financial Corp. | 1,511,229 | 14,402,012 | ||
Lakeland Financial Corp. | 672,662 | 30,733,927 | ||
Prosperity Bancshares, Inc. | 521,684 | 28,442,212 | ||
Sandy Spring Bancorp, Inc. | 464,333 | 11,106,845 | ||
Signature Bank | 237,820 | 23,075,675 | ||
SLM Corp. | 3,064,137 | 23,410,007 | ||
Textainer Group Holdings Ltd. (a) | 1,980,925 | 23,256,060 | ||
UMB Financial Corp. | 767,621 | 41,236,600 | ||
Umpqua Holdings Corp. | 3,505,951 | 39,547,127 | ||
Wintrust Financial Corp. | 594,854 | 25,888,046 | ||
$532,308,264 | ||||
Pollution Control – 0.9% | ||||
U.S. Ecology, Inc. | 700,651 | $ 26,015,172 | ||
Real Estate – 10.0% | ||||
Brixmor Property Group, Inc., REIT | 1,932,389 | $ 22,802,190 | ||
Corporate Office Properties Trust, REIT | 1,551,060 | 38,218,118 | ||
Empire State Realty Trust, REIT, “A” | 2,716,750 | 17,115,525 | ||
Industrial Logistics Properties Trust, REIT | 1,827,687 | 39,423,209 | ||
Lexington Realty Trust, REIT | 2,383,913 | 27,105,091 | ||
Life Storage, Inc., REIT | 265,182 | 27,958,138 | ||
Office Properties Income Trust, REIT | 1,165,419 | 27,783,589 | ||
Spirit Realty Capital, Inc., REIT | 291,856 | 10,363,807 | ||
STAG Industrial, Inc., REIT | 836,082 | 27,005,449 |
Issuer | Shares/Par | Value ($) | ||
Common Stocks – continued | ||||
Real Estate – continued | ||||
Two Harbors Investment Corp., REIT | 5,150,399 | $ 28,069,674 | ||
Urban Edge Properties, REIT | 1,884,447 | 19,899,760 | ||
$285,744,550 | ||||
Specialty Chemicals – 4.4% | ||||
Axalta Coating Systems Ltd. (a) | 893,740 | $ 21,315,699 | ||
Compass Minerals International, Inc. | 562,364 | 32,015,383 | ||
Ferro Corp. (a) | 2,809,000 | 35,028,230 | ||
Ferroglobe PLC (a) | 2,840,355 | 1,392,058 | ||
Univar Solutions, Inc. (a) | 1,914,364 | 34,822,281 | ||
$124,573,651 | ||||
Specialty Stores – 2.3% | ||||
Urban Outfitters, Inc. (a) | 1,708,193 | $ 40,210,863 | ||
Zumiez, Inc. (a) | 1,021,415 | 26,229,937 | ||
$66,440,800 | ||||
Trucking – 1.4% | ||||
Schneider National, Inc. | 1,508,929 | $ 40,831,619 | ||
Utilities - Electric Power – 3.2% | ||||
ALLETE, Inc. | 250,121 | $ 13,496,529 | ||
Black Hills Corp. | 710,196 | 39,827,792 | ||
Portland General Electric Co. | 999,934 | 38,147,482 | ||
$91,471,803 | ||||
Total Common Stocks (Identified Cost, $2,797,967,229) | $2,813,944,691 | |||
Investment Companies (h) – 0.6% | ||||
Money Market Funds – 0.6% | ||||
MFS Institutional Money Market Portfolio, 0.1% (v) (Identified Cost, $18,053,248) | 18,053,498 | $ 18,053,498 | ||
Collateral for Securities Loaned – 0.0% | ||||
State Street Navigator Securities Lending Government Money Market Portfolio, 0.1% (j) (Identified Cost, $33,500) | 33,500 | $ 33,500 | ||
Other Assets, Less Liabilities – 0.5% | 13,066,626 | |||
Net Assets – 100.0% | $2,845,098,315 |
(a) | Non-income producing security. | |||
(h) | An affiliated issuer, which may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. At period end, the aggregate values of the fund's investments in affiliated issuers and in unaffiliated issuers were $18,053,498 and $2,813,978,191, respectively. |
(j) | The rate quoted is the annualized seven-day yield of the fund at period end. | |||
(l) | A portion of this security is on loan. See Note 2 for additional information. | |||
(v) | Affiliated issuer that is available only to investment companies managed by MFS. The rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end. |
The following abbreviations are used in this report and are defined: | |
ADR | American Depositary Receipt |
REIT | Real Estate Investment Trust |
Assets | |
Investments in unaffiliated issuers, at value, including $2,642,314 of securities on loan (identified cost, $2,798,000,729) | $2,813,978,191 |
Investments in affiliated issuers, at value (identified cost, $18,053,248) | 18,053,498 |
Receivables for | |
Investments sold | 17,577,043 |
Fund shares sold | 3,353,014 |
Interest and dividends | 3,849,877 |
Other assets | 68,595 |
Total assets | $2,856,880,218 |
Liabilities | |
Payables for | |
Investments purchased | $7,183,104 |
Fund shares reacquired | 3,644,032 |
Collateral for securities loaned, at value (c) | 33,500 |
Payable to affiliates | |
Investment adviser | 257,845 |
Administrative services fee | 4,215 |
Shareholder servicing costs | 434,607 |
Distribution and service fees | 13,989 |
Accrued expenses and other liabilities | 210,611 |
Total liabilities | $11,781,903 |
Net assets | $2,845,098,315 |
Net assets consist of | |
Paid-in capital | $3,013,110,895 |
Total distributable earnings (loss) | (168,012,580) |
Net assets | $2,845,098,315 |
Shares of beneficial interest outstanding | 209,168,626 |
(c) | Non-cash collateral is not included. |
Net assets | Shares
outstanding |
Net
asset value per share (a) | |
Class A | $267,219,862 | 19,777,622 | $13.51 |
Class B | 5,234,728 | 407,840 | 12.84 |
Class C | 32,175,208 | 2,520,185 | 12.77 |
Class I | 1,023,268,309 | 75,188,894 | 13.61 |
Class R1 | 1,498,328 | 116,704 | 12.84 |
Class R2 | 3,856,866 | 287,502 | 13.42 |
Class R3 | 75,024,854 | 5,540,546 | 13.54 |
Class R4 | 81,962,654 | 6,014,314 | 13.63 |
Class R6 | 1,354,857,506 | 99,315,019 | 13.64 |
(a) | Maximum offering price per share was equal to the net asset value per share for all share classes, except for Class A, for which the maximum offering price per share was $14.33 [100 / 94.25 x $13.51]. On sales of $50,000 or more, the maximum offering price of Class A shares is reduced. A contingent deferred sales charge may be imposed on redemptions of Class A, Class B, and Class C shares. Redemption price per share was equal to the net asset value per share for Classes I, R1, R2, R3, R4, and R6. |
Net investment income (loss) | |
Income | |
Dividends | $26,474,307 |
Other | 156,499 |
Dividends from affiliated issuers | 94,148 |
Income on securities loaned | 7,027 |
Foreign taxes withheld | (42,166) |
Total investment income | $26,689,815 |
Expenses | |
Management fee | $11,120,701 |
Distribution and service fees | 621,773 |
Shareholder servicing costs | 830,571 |
Administrative services fee | 187,174 |
Independent Trustees' compensation | 20,032 |
Custodian fee | 69,660 |
Shareholder communications | 127,111 |
Audit and tax fees | 29,043 |
Legal fees | 12,586 |
Miscellaneous | 135,690 |
Total expenses | $13,154,341 |
Reduction of expenses by investment adviser and distributor | (148,899) |
Net expenses | $13,005,442 |
Net investment income (loss) | $13,684,373 |
Realized and unrealized gain (loss) | |
Realized gain (loss) (identified cost basis) | |
Unaffiliated issuers | $(170,106,007) |
Affiliated issuers | (5,616) |
Foreign currency | (28,500) |
Net realized gain (loss) | $(170,140,123) |
Change in unrealized appreciation or depreciation | |
Unaffiliated issuers | $105,507,908 |
Affiliated issuers | (4,326) |
Translation of assets and liabilities in foreign currencies | 6,906 |
Net unrealized gain (loss) | $105,510,488 |
Net realized and unrealized gain (loss) | $(64,629,635) |
Change in net assets from operations | $(50,945,262) |
Six months ended | Year ended | |
8/31/20
(unaudited) |
2/29/20 | |
Change in net assets | ||
From operations | ||
Net investment income (loss) | $13,684,373 | $26,578,500 |
Net realized gain (loss) | (170,140,123) | 155,061,486 |
Net unrealized gain (loss) | 105,510,488 | (242,139,416) |
Change in net assets from operations | $(50,945,262) | $(60,499,430) |
Total distributions to shareholders | $(67,363,256) | $(160,253,589) |
Change in net assets from fund share transactions | $(1,189,291) | $841,315,919 |
Total change in net assets | $(119,497,809) | $620,562,900 |
Net assets | ||
At beginning of period | 2,964,596,124 | 2,344,033,224 |
At end of period | $2,845,098,315 | $2,964,596,124 |
Class A |
Six months ended |
Year ended | ||||
8/31/20
(unaudited) |
2/29/20 | 2/28/19
|
2/28/18 | 2/28/17 | 2/29/16 | |
Net asset value, beginning of period | $14.12 | $15.16 | $14.92 | $14.99 | $11.40 | $12.98 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.05 | $0.10 | $0.05 | $0.02 | $0.03(c) | $0.05 |
Net realized and unrealized gain (loss) | (0.34) | (0.38) | 1.21 | 0.72 | 4.18 | (1.26) |
Total from investment operations | $(0.29) | $(0.28) | $1.26 | $0.74 | $4.21 | $(1.21) |
Less distributions declared to shareholders | ||||||
From net investment income | $— | $(0.10) | $(0.04) | $(0.00)(w) | $(0.06) | $(0.05) |
From net realized gain | (0.32) | (0.66) | (0.98) | (0.81) | (0.56) | (0.32) |
Total distributions declared to shareholders | $(0.32) | $(0.76) | $(1.02) | $(0.81) | $(0.62) | $(0.37) |
Net asset value, end of period (x) | $13.51 | $14.12 | $15.16 | $14.92 | $14.99 | $11.40 |
Total return (%) (r)(s)(t)(x) | (1.96)(n) | (2.41) | 8.90 | 4.98 | 37.22(c) | (9.38) |
Ratios
(%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.24(a) | 1.23 | 1.29 | 1.33 | 1.43(c) | 1.55 |
Expenses after expense reductions (f) | 1.23(a) | 1.22 | 1.28 | 1.32 | 1.39(c) | 1.39 |
Net investment income (loss) | 0.77(a)(l) | 0.64 | 0.31 | 0.12 | 0.22(c) | 0.38 |
Portfolio turnover | 27(n) | 44 | 57 | 60 | 60 | 60 |
Net assets at end of period (000 omitted) | $267,220 | $331,255 | $318,067 | $250,525 | $189,746 | $52,645 |
Class B |
Six months ended |
Year ended | ||||
8/31/20
(unaudited) |
2/29/20 | 2/28/19
|
2/28/18 | 2/28/17 | 2/29/16 | |
Net asset value, beginning of period | $13.48 | $14.52 | $14.40 | $14.60 | $11.16 | $12.76 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.00(w) | $(0.02) | $(0.07) | $(0.09) | $(0.07)(c) | $(0.05) |
Net realized and unrealized gain (loss) | (0.32) | (0.36) | 1.17 | 0.70 | 4.08 | (1.23) |
Total from investment operations | $(0.32) | $(0.38) | $1.10 | $0.61 | $4.01 | $(1.28) |
Less distributions declared to shareholders | ||||||
From net investment income | $— | $— | $— | $— | $(0.01) | $— |
From net realized gain | (0.32) | (0.66) | (0.98) | (0.81) | (0.56) | (0.32) |
Total distributions declared to shareholders | $(0.32) | $(0.66) | $(0.98) | $(0.81) | $(0.57) | $(0.32) |
Net asset value, end of period (x) | $12.84 | $13.48 | $14.52 | $14.40 | $14.60 | $11.16 |
Total return (%) (r)(s)(t)(x) | (2.27)(n) | (3.11) | 8.05 | 4.21 | 36.17(c) | (10.10) |
Ratios
(%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.99(a) | 1.98 | 2.04 | 2.08 | 2.18(c) | 2.28 |
Expenses after expense reductions (f) | 1.98(a) | 1.97 | 2.03 | 2.07 | 2.14(c) | 2.14 |
Net investment income (loss) | 0.03(a)(l) | (0.12) | (0.48) | (0.63) | (0.54)(c) | (0.38) |
Portfolio turnover | 27(n) | 44 | 57 | 60 | 60 | 60 |
Net assets at end of period (000 omitted) | $5,235 | $6,207 | $7,198 | $6,329 | $5,872 | $1,545 |
Class C |
Six months ended |
Year ended | ||||
8/31/20
(unaudited) |
2/29/20 | 2/28/19
|
2/28/18 | 2/28/17 | 2/29/16 | |
Net asset value, beginning of period | $13.41 | $14.45 | $14.33 | $14.54 | $11.11 | $12.73 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.00(w) | $(0.02) | $(0.08) | $(0.09) | $(0.06)(c) | $(0.04) |
Net realized and unrealized gain (loss) | (0.32) | (0.36) | 1.18 | 0.69 | 4.05 | (1.23) |
Total from investment operations | $(0.32) | $(0.38) | $1.10 | $0.60 | $3.99 | $(1.27) |
Less distributions declared to shareholders | ||||||
From net investment income | $— | $— | $— | $— | $— | $(0.03) |
From net realized gain | (0.32) | (0.66) | (0.98) | (0.81) | (0.56) | (0.32) |
Total distributions declared to shareholders | $(0.32) | $(0.66) | $(0.98) | $(0.81) | $(0.56) | $(0.35) |
Net asset value, end of period (x) | $12.77 | $13.41 | $14.45 | $14.33 | $14.54 | $11.11 |
Total return (%) (r)(s)(t)(x) | (2.29)(n) | (3.12) | 8.09 | 4.15 | 36.17(c) | (10.08) |
Ratios
(%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.99(a) | 1.98 | 2.04 | 2.08 | 2.18(c) | 2.30 |
Expenses after expense reductions (f) | 1.98(a) | 1.97 | 2.03 | 2.07 | 2.14(c) | 2.14 |
Net investment income (loss) | 0.03(a)(l) | (0.11) | (0.56) | (0.64) | (0.46)(c) | (0.37) |
Portfolio turnover | 27(n) | 44 | 57 | 60 | 60 | 60 |
Net assets at end of period (000 omitted) | $32,175 | $38,477 | $41,046 | $52,616 | $63,140 | $35,227 |
Class I |
Six months ended |
Year ended | ||||
8/31/20
(unaudited) |
2/29/20 | 2/28/19
|
2/28/18 | 2/28/17 | 2/29/16 | |
Net asset value, beginning of period | $14.21 | $15.25 | $15.00 | $15.06 | $11.44 | $13.01 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.07 | $0.14 | $0.12 | $0.06 | $0.06(c) | $0.08 |
Net realized and unrealized gain (loss) | (0.34) | (0.39) | 1.19 | 0.73 | 4.20 | (1.26) |
Total from investment operations | $(0.27) | $(0.25) | $1.31 | $0.79 | $4.26 | $(1.18) |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.01) | $(0.13) | $(0.08) | $(0.04) | $(0.08) | $(0.07) |
From net realized gain | (0.32) | (0.66) | (0.98) | (0.81) | (0.56) | (0.32) |
Total distributions declared to shareholders | $(0.33) | $(0.79) | $(1.06) | $(0.85) | $(0.64) | $(0.39) |
Net asset value, end of period (x) | $13.61 | $14.21 | $15.25 | $15.00 | $15.06 | $11.44 |
Total return (%) (r)(s)(t)(x) | (1.82)(n) | (2.17) | 9.19 | 5.26 | 37.54(c) | (9.15) |
Ratios
(%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 0.99(a) | 0.98 | 1.04 | 1.08 | 1.18(c) | 1.29 |
Expenses after expense reductions (f) | 0.98(a) | 0.97 | 1.03 | 1.07 | 1.14(c) | 1.14 |
Net investment income (loss) | 1.03(a)(l) | 0.89 | 0.77 | 0.37 | 0.42(c) | 0.62 |
Portfolio turnover | 27(n) | 44 | 57 | 60 | 60 | 60 |
Net assets at end of period (000 omitted) | $1,023,268 | $1,119,891 | $917,167 | $351,939 | $242,154 | $31,278 |
Class R1 |
Six months ended |
Year ended | ||||
8/31/20
(unaudited) |
2/29/20 | 2/28/19
|
2/28/18 | 2/28/17 | 2/29/16 | |
Net asset value, beginning of period | $13.49 | $14.53 | $14.41 | $14.61 | $11.16 | $12.76 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.00(w) | $(0.02) | $(0.06) | $(0.09) | $(0.06)(c) | $(0.05) |
Net realized and unrealized gain (loss) | (0.33) | (0.36) | 1.16 | 0.70 | 4.07 | (1.23) |
Total from investment operations | $(0.33) | $(0.38) | $1.10 | $0.61 | $4.01 | $(1.28) |
Less distributions declared to shareholders | ||||||
From net investment income | $— | $(0.00)(w) | $— | $— | $— | $— |
From net realized gain | (0.32) | (0.66) | (0.98) | (0.81) | (0.56) | (0.32) |
Total distributions declared to shareholders | $(0.32) | $(0.66) | $(0.98) | $(0.81) | $(0.56) | $(0.32) |
Net asset value, end of period (x) | $12.84 | $13.49 | $14.53 | $14.41 | $14.61 | $11.16 |
Total return (%) (r)(s)(t)(x) | (2.35)(n) | (3.08) | 8.04 | 4.20 | 36.19(c) | (10.10) |
Ratios
(%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.99(a) | 1.98 | 2.04 | 2.08 | 2.18(c) | 2.28 |
Expenses after expense reductions (f) | 1.98(a) | 1.97 | 2.03 | 2.07 | 2.14(c) | 2.14 |
Net investment income (loss) | 0.02(a)(l) | (0.11) | (0.42) | (0.64) | (0.45)(c) | (0.37) |
Portfolio turnover | 27(n) | 44 | 57 | 60 | 60 | 60 |
Net assets at end of period (000 omitted) | $1,498 | $1,453 | $1,581 | $1,228 | $210 | $200 |
Class R2 |
Six months ended |
Year ended | ||||
8/31/20
(unaudited) |
2/29/20 | 2/28/19
|
2/28/18 | 2/28/17 | 2/29/16 | |
Net asset value, beginning of period | $14.04 | $15.09 | $14.87 | $14.97 | $11.40 | $12.96 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.03 | $0.06 | $0.02 | $(0.02) | $(0.00)(c)(w) | $0.02 |
Net realized and unrealized gain (loss) | (0.33) | (0.38) | 1.19 | 0.73 | 4.17 | (1.25) |
Total from investment operations | $(0.30) | $(0.32) | $1.21 | $0.71 | $4.17 | $(1.23) |
Less distributions declared to shareholders | ||||||
From net investment income | $— | $(0.07) | $(0.01) | $— | $(0.04) | $(0.01) |
From net realized gain | (0.32) | (0.66) | (0.98) | (0.81) | (0.56) | (0.32) |
Total distributions declared to shareholders | $(0.32) | $(0.73) | $(0.99) | $(0.81) | $(0.60) | $(0.33) |
Net asset value, end of period (x) | $13.42 | $14.04 | $15.09 | $14.87 | $14.97 | $11.40 |
Total return (%) (r)(s)(t)(x) | (2.04)(n) | (2.64) | 8.59 | 4.78 | 36.81(c) | (9.58) |
Ratios
(%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.49(a) | 1.47 | 1.54 | 1.58 | 1.68(c) | 1.78 |
Expenses after expense reductions (f) | 1.48(a) | 1.47 | 1.53 | 1.57 | 1.64(c) | 1.64 |
Net investment income (loss) | 0.52(a)(l) | 0.40 | 0.16 | (0.13) | (0.02)(c) | 0.14 |
Portfolio turnover | 27(n) | 44 | 57 | 60 | 60 | 60 |
Net assets at end of period (000 omitted) | $3,857 | $5,054 | $3,719 | $2,349 | $1,216 | $528 |
Class R3 |
Six months ended |
Year ended | ||||
8/31/20
(unaudited) |
2/29/20 | 2/28/19
|
2/28/18 | 2/28/17 | 2/29/16 | |
Net asset value, beginning of period | $14.15 | $15.20 | $14.96 | $15.03 | $11.43 | $13.00 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.05 | $0.10 | $0.06 | $0.02 | $0.01(c) | $0.04 |
Net realized and unrealized gain (loss) | (0.34) | (0.38) | 1.20 | 0.73 | 4.20 | (1.24) |
Total from investment operations | $(0.29) | $(0.28) | $1.26 | $0.75 | $4.21 | $(1.20) |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.00)(w) | $(0.11) | $(0.04) | $(0.01) | $(0.05) | $(0.05) |
From net realized gain | (0.32) | (0.66) | (0.98) | (0.81) | (0.56) | (0.32) |
Total distributions declared to shareholders | $(0.32) | $(0.77) | $(1.02) | $(0.82) | $(0.61) | $(0.37) |
Net asset value, end of period (x) | $13.54 | $14.15 | $15.20 | $14.96 | $15.03 | $11.43 |
Total return (%) (r)(s)(t)(x) | (1.95)(n) | (2.41) | 8.88 | 5.04 | 37.11(c) | (9.30) |
Ratios
(%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 1.24(a) | 1.22 | 1.29 | 1.33 | 1.46(c) | 1.55 |
Expenses after expense reductions (f) | 1.23(a) | 1.21 | 1.28 | 1.32 | 1.39(c) | 1.39 |
Net investment income (loss) | 0.77(a)(l) | 0.64 | 0.40 | 0.11 | 0.08(c) | 0.36 |
Portfolio turnover | 27(n) | 44 | 57 | 60 | 60 | 60 |
Net assets at end of period (000 omitted) | $75,025 | $76,069 | $45,355 | $26,095 | $14,208 | $2,095 |
Class R4 |
Six months ended |
Year ended | ||||
8/31/20
(unaudited) |
2/29/20 | 2/28/19
|
2/28/18 | 2/28/17 | 2/29/16 | |
Net asset value, beginning of period | $14.23 | $15.27 | $15.02 | $15.08 | $11.46 | $13.03 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.07 | $0.14 | $0.10 | $0.06 | $0.06(c) | $0.08 |
Net realized and unrealized gain (loss) | (0.34) | (0.38) | 1.21 | 0.73 | 4.20 | (1.26) |
Total from investment operations | $(0.27) | $(0.24) | $1.31 | $0.79 | $4.26 | $(1.18) |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.01) | $(0.14) | $(0.08) | $(0.04) | $(0.08) | $(0.07) |
From net realized gain | (0.32) | (0.66) | (0.98) | (0.81) | (0.56) | (0.32) |
Total distributions declared to shareholders | $(0.33) | $(0.80) | $(1.06) | $(0.85) | $(0.64) | $(0.39) |
Net asset value, end of period (x) | $13.63 | $14.23 | $15.27 | $15.02 | $15.08 | $11.46 |
Total return (%) (r)(s)(t)(x) | (1.82)(n) | (2.16) | 9.19 | 5.28 | 37.46(c) | (9.12) |
Ratios
(%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 0.99(a) | 0.98 | 1.03 | 1.08 | 1.20(c) | 1.29 |
Expenses after expense reductions (f) | 0.98(a) | 0.97 | 1.03 | 1.07 | 1.14(c) | 1.14 |
Net investment income (loss) | 1.02(a)(l) | 0.89 | 0.66 | 0.36 | 0.45(c) | 0.65 |
Portfolio turnover | 27(n) | 44 | 57 | 60 | 60 | 60 |
Net assets at end of period (000 omitted) | $81,963 | $82,613 | $71,765 | $5,469 | $2,440 | $584 |
Class R6 |
Six months ended |
Year ended | ||||
8/31/20
(unaudited) |
2/29/20 | 2/28/19
|
2/28/18 | 2/28/17 | 2/29/16 | |
Net asset value, beginning of period | $14.24 | $15.27 | $15.02 | $15.08 | $11.45 | $13.02 |
Income (loss) from investment operations | ||||||
Net investment income (loss) (d) | $0.07 | $0.16 | $0.12 | $0.07 | $0.10(c) | $0.09 |
Net realized and unrealized gain (loss) | (0.34) | (0.38) | 1.20 | 0.73 | 4.18 | (1.26) |
Total from investment operations | $(0.27) | $(0.22) | $1.32 | $0.80 | $4.28 | $(1.17) |
Less distributions declared to shareholders | ||||||
From net investment income | $(0.01) | $(0.15) | $(0.09) | $(0.05) | $(0.09) | $(0.08) |
From net realized gain | (0.32) | (0.66) | (0.98) | (0.81) | (0.56) | (0.32) |
Total distributions declared to shareholders | $(0.33) | $(0.81) | $(1.07) | $(0.86) | $(0.65) | $(0.40) |
Net asset value, end of period (x) | $13.64 | $14.24 | $15.27 | $15.02 | $15.08 | $11.45 |
Total return (%) (r)(s)(t)(x) | (1.80)(n) | (2.02) | 9.28 | 5.36 | 37.68(c) | (9.09) |
Ratios
(%) (to average net assets) and Supplemental data: | ||||||
Expenses before expense reductions (f) | 0.88(a) | 0.87 | 0.92 | 0.97 | 1.07(c) | 1.21 |
Expenses after expense reductions (f) | 0.87(a) | 0.86 | 0.92 | 0.96 | 1.02(c) | 1.06 |
Net investment income (loss) | 1.13(a)(l) | 0.99 | 0.78 | 0.47 | 0.73(c) | 0.71 |
Portfolio turnover | 27(n) | 44 | 57 | 60 | 60 | 60 |
Net assets at end of period (000 omitted) | $1,354,858 | $1,303,575 | $938,134 | $599,845 | $346,955 | $290,204 |
(a) | Annualized. |
(c) | Amount reflects a one-time reimbursement of expenses by the custodian (or former custodian) without which net investment income and performance would be lower and expenses would be higher. |
(d) | Per share data is based on average shares outstanding. |
(f) | Ratios do not reflect reductions from fees paid indirectly, if applicable. |
(l) | Recognition of net investment income by the fund may be affected by the timing of the declaration of dividends by companies in which the fund invests and the actual annual net investment income ratio may differ. |
(n) | Not annualized. |
(r) | Certain expenses have been reduced without which performance would have been lower. |
(s) | From time to time the fund may receive proceeds from litigation settlements, without which performance would be lower. |
(t) | Total returns do not include any applicable sales charges. |
(w) | Per share amount was less than $0.01. |
(x) | The net asset values and total returns have been calculated on net assets which include adjustments made in accordance with U.S. generally accepted accounting principles required at period end for financial reporting purposes. |
Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
Equity Securities | $2,813,944,691 | $— | $— | $2,813,944,691 |
Mutual Funds | 18,086,998 | — | — | 18,086,998 |
Total | $2,832,031,689 | $— | $— | $2,832,031,689 |
Year
ended 2/29/20 | |
Ordinary income (including any short-term capital gains) | $77,824,337 |
Long-term capital gains | 82,429,252 |
Total distributions | $160,253,589 |
As of 8/31/20 | |
Cost of investments | $2,841,182,619 |
Gross appreciation | 330,637,573 |
Gross depreciation | (339,788,503) |
Net unrealized appreciation (depreciation) | $ (9,150,930) |
As of 2/29/20 | |
Undistributed ordinary income | 34,240,596 |
Undistributed long-term capital gain | 30,716,611 |
Other temporary differences | (6,757) |
Net unrealized appreciation (depreciation) | (114,654,512) |
Six
months ended 8/31/20 |
Year
ended 2/29/20 | ||
Class A | $6,297,483 | $17,789,262 | |
Class B | 130,336 | 312,488 | |
Class C | 807,766 | 1,955,625 | |
Class I | 24,173,641 | 64,354,722 | |
Class R1 | 35,695 | 78,725 | |
Class R2 | 98,960 | 238,639 | |
Class R3 | 1,755,065 | 3,767,906 | |
Class R4 | 1,948,117 | 4,388,677 | |
Class R6 | 32,116,193 | 67,367,545 | |
Total | $67,363,256 | $160,253,589 |
Up to $1 billion | 0.90% |
In excess of $1 billion and up to $2.5 billion | 0.80% |
In excess of $2.5 billion and up to $5 billion | 0.75% |
In excess of $5 billion | 0.70% |
Classes | ||||||||
A | B | C | I | R1 | R2 | R3 | R4 | R6 |
1.39% | 2.14% | 2.14% | 1.14% | 2.14% | 1.64% | 1.39% | 1.14% | 1.10% |
Distribution
Fee Rate (d) |
Service
Fee Rate (d) |
Total
Distribution Plan (d) |
Annual
Effective Rate (e) |
Distribution
and Service Fee | |
Class A | — | 0.25% | 0.25% | 0.25% | $ 333,858 |
Class B | 0.75% | 0.25% | 1.00% | 1.00% | 25,587 |
Class C | 0.75% | 0.25% | 1.00% | 1.00% | 158,013 |
Class R1 | 0.75% | 0.25% | 1.00% | 1.00% | 6,637 |
Class R2 | 0.25% | 0.25% | 0.50% | 0.50% | 10,486 |
Class R3 | — | 0.25% | 0.25% | 0.25% | 87,192 |
Total Distribution and Service Fees | $621,773 |
(d) | In accordance with the distribution plan for certain classes, the fund pays distribution and/or service fees equal to these annual percentage rates of each class’s average daily net assets. The distribution and service fee rates disclosed by class represent the current rates in effect at the end of the reporting period. Any rate changes, if applicable, are detailed below. |
(e) | The annual effective rates represent actual fees incurred under the distribution plan for the six months ended August 31, 2020 based on each class's average daily net assets.MFD has voluntarily agreed to rebate a portion of each class's 0.25% service fee attributable to accounts for which there is no financial intermediary specified on the account except for accounts attributable to MFS or its affiliates' seed money. For the six months ended August 31, 2020, this rebate amounted to $441 and $4 for Class A and Class C, respectively, and is included in the reduction of total expenses in the Statement of Operations. |
Amount | |
Class A | $5,259 |
Class B | 4,336 |
Class C | 1,284 |
Six
months ended 8/31/20 |
Year
ended 2/29/20 | ||||
Shares | Amount | Shares | Amount | ||
Shares sold | |||||
Class A | 1,414,194 | $16,780,235 | 5,577,550 | $85,389,314 | |
Class B | 617 | 7,070 | 19,644 | 285,826 | |
Class C | 120,492 | 1,377,401 | 673,942 | 9,832,448 | |
Class I | 17,140,140 | 208,347,796 | 42,394,685 | 655,167,836 | |
Class R1 | 10,280 | 123,404 | 28,079 | 417,124 | |
Class R2 | 37,315 | 440,941 | 174,890 | 2,687,367 | |
Class R3 | 885,845 | 10,764,526 | 3,286,074 | 50,752,337 | |
Class R4 | 889,556 | 11,035,272 | 2,243,740 | 35,281,576 | |
Class R6 | 20,769,951 | 247,677,119 | 42,619,200 | 664,114,955 | |
41,268,390 | $496,553,764 | 97,017,804 | $1,503,928,783 | ||
Shares
issued to shareholders in reinvestment of distributions |
|||||
Class A | 486,139 | $6,285,772 | 1,103,400 | $17,758,007 | |
Class B | 10,527 | 129,382 | 20,102 | 308,444 | |
Class C | 66,035 | 806,943 | 127,231 | 1,942,050 | |
Class I | 1,807,969 | 23,539,760 | 3,854,882 | 62,379,748 | |
Class R1 | 2,904 | 35,695 | 5,122 | 78,702 | |
Class R2 | 7,707 | 98,960 | 14,690 | 235,686 | |
Class R3 | 135,422 | 1,755,065 | 233,236 | 3,767,906 | |
Class R4 | 149,395 | 1,948,117 | 270,594 | 4,388,677 | |
Class R6 | 2,195,048 | 28,645,381 | 3,598,415 | 58,497,411 | |
4,861,146 | $63,245,075 | 9,227,672 | $149,356,631 | ||
Shares reacquired | |||||
Class A | (5,576,488) | $(66,171,653) | (4,209,324) | $(65,745,289) | |
Class B | (63,637) | (738,740) | (74,998) | (1,108,951) | |
Class C | (534,605) | (6,222,615) | (772,969) | (11,432,414) | |
Class I | (22,551,464) | (274,411,080) | (27,611,658) | (436,075,428) | |
Class R1 | (4,199) | (45,165) | (34,254) | (518,052) | |
Class R2 | (117,445) | (1,473,803) | (76,108) | (1,185,224) | |
Class R3 | (854,978) | (10,640,884) | (1,129,204) | (17,867,271) | |
Class R4 | (829,262) | (10,388,724) | (1,410,009) | (22,315,100) | |
Class R6 | (15,186,719) | (190,895,466) | (16,105,740) | (255,721,766) | |
(45,718,797) | $(560,988,130) | (51,424,264) | $(811,969,495) |
Six
months ended 8/31/20 |
Year
ended 2/29/20 | ||||
Shares | Amount | Shares | Amount | ||
Net change | |||||
Class A | (3,676,155) | $(43,105,646) | 2,471,626 | $37,402,032 | |
Class B | (52,493) | (602,288) | (35,252) | (514,681) | |
Class C | (348,078) | (4,038,271) | 28,204 | 342,084 | |
Class I | (3,603,355) | (42,523,524) | 18,637,909 | 281,472,156 | |
Class R1 | 8,985 | 113,934 | (1,053) | (22,226) | |
Class R2 | (72,423) | (933,902) | 113,472 | 1,737,829 | |
Class R3 | 166,289 | 1,878,707 | 2,390,106 | 36,652,972 | |
Class R4 | 209,689 | 2,594,665 | 1,104,325 | 17,355,153 | |
Class R6 | 7,778,280 | 85,427,034 | 30,111,875 | 466,890,600 | |
410,739 | $(1,189,291) | 54,821,212 | $841,315,919 |
Affiliated Issuers | Beginning
Value |
Purchases | Sales
Proceeds |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation or Depreciation |
Ending
Value |
MFS Institutional Money Market Portfolio | $24,250,670 | $428,845,556 | $435,032,786 | $(5,616) | $(4,326) | $18,053,498 |
Affiliated Issuers | Dividend
Income |
Capital
Gain Distributions |
MFS Institutional Money Market Portfolio | $94,148 | $— |
ITEM 2. | CODE OF ETHICS. |
During the period covered by this report, the Registrant has not amended any provision in its Code of Ethics (the Code) that relates to an element of the Codes definition enumerated in paragraph (b) of Item 2 of this Form N-CSR. During the period covered by this report, the Registrant did not grant a waiver, including an implicit waiver, from any provision of the Code.
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
Not applicable for semi-annual reports.
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
Not applicable for semi-annual reports.
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
Not applicable to the Registrant.
ITEM 6. | INVESTMENTS |
A schedule of investments for each series of the Registrant is included as part of the report to shareholders of such series under Item 1 of this Form N-CSR.
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable to the Registrant.
ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable to the Registrant.
ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
Not applicable to the Registrant.
ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
There were no material changes to the procedures by which shareholders may send recommendations to the Board for nominees to the Registrants Board since the Registrant last provided disclosure as to such procedures in response to the requirements of Item 407 (c)(2)(iv) of Regulation S-K or this Item.
ITEM 11. | CONTROLS AND PROCEDURES. |
(a) | Based upon their evaluation of the effectiveness of the registrants disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the Act)) as conducted within 90 days of the filing date of this report on Form N-CSR, the registrants principal financial officer and principal executive officer have concluded that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commissions rules and forms. |
(b) | There were no changes in the registrants internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the period covered by the report that have materially affected, or are reasonably likely to materially affect, the registrants internal control over financial reporting. |
ITEM 12. | DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable to the Registrant.
ITEM 13. | EXHIBITS. |
(a) (1) | Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit. Not applicable. |
(2) | A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2): Attached hereto as EX-99.302CERT. |
(3) | Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable. |
(4) | Change in the registrants independent public accountant. Not applicable. |
(b) | If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)), Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this paragraph will not be deemed filed for the purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference. Attached hereto as EX-99.906CERT. |
Notice
A copy of the Amended and Restated Declaration of Trust, as amended, of the Registrant is on file with the Secretary of State of The Commonwealth of Massachusetts and notice is hereby given that this instrument is executed on behalf of the Registrant by an officer of the Registrant as an officer and not individually and the obligations of or arising out of this instrument are not binding upon any of the Trustees or shareholders individually, but are binding only upon the assets and property of the respective constituent series of the Registrant.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) MFS SERIES TRUST XIII
By (Signature and Title)* | /S/ DAVID L. DILORENZO | |
David L. DiLorenzo, President |
Date: October 19, 2020
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /S/ DAVID L. DILORENZO | |
David L. DiLorenzo, President (Principal Executive Officer) |
Date: October 19, 2020
By (Signature and Title)* | /S/ JAMES O. YOST | |
James O. Yost, Treasurer (Principal Financial Officer and Accounting Officer) |
Date: October 19, 2020
* | Print name and title of each signing officer under his or her signature. |
EX-99.302CERT
MFS SERIES TRUST XIII
CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT
I, James O. Yost, certify that:
1. | I have reviewed this report on Form N-CSR of MFS Series Trust XIII; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; |
4. | The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
a. | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b. | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c. | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures as of a date within 90 days prior to the filing date of this report based on such evaluation; and |
d. | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the period covered by the report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
a. | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
b. | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: October 19, 2020 | /S/ JAMES O. YOST | |||
James O. Yost | ||||
Treasurer (Principal Financial Officer and Accounting Officer) |
EX-99.302CERT
MFS SERIES TRUST XIII
CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT
I, David L. DiLorenzo, certify that:
1. | I have reviewed this report on Form N-CSR of MFS Series Trust XIII; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; |
4. | The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
a. | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b. | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c. | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures as of a date within 90 days prior to the filing date of this report based on such evaluation; and |
d. | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the period covered by the report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
a. | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
b. | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: October 19, 2020 | /S/ DAVID L. DILORENZO | |||
David L. DiLorenzo | ||||
President (Principal Executive Officer) |
EX-99.906CERT
MFS SERIES TRUST XIII
CERTIFICATION PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT
I, James O. Yost, certify that, to my knowledge:
1. | The Form N-CSR (the Report) of MFS Series Trust XIII (the Registrant) fully complies for the period covered by the Report with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. |
Date: October 19, 2020 | /S/ JAMES O. YOST | |||
James O. Yost | ||||
Treasurer (Principal Financial Officer and Accounting Officer) |
A signed original of this written statement required by Section 906 has been provided to the Registrant and will be retained by the Registrant and furnished to the Securities and Exchange Commission or its staff upon request.
EX-99.906CERT
MFS SERIES TRUST XIII
CERTIFICATION PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT
I, David L. DiLorenzo, certify that, to my knowledge:
1. | The Form N-CSR (the Report) of MFS Series Trust XIII (the Registrant) fully complies for the period covered by the Report with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. |
Date: October 19, 2020 | /S/ DAVID L. DILORENZO | |||
David L. DiLorenzo | ||||
President (Principal Executive Officer) |
A signed original of this written statement required by Section 906 has been provided to the Registrant and will be retained by the Registrant and furnished to the Securities and Exchange Commission or its staff upon request.
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